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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Staff Report No. 625
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-sectional tests of a wide variety of equity and bond portfolios. The model outperforms alternative specifications of intermediary pricing models that use intermediary net worth as a state variable, and it performs well in comparison to benchmark asset pricing models. We draw implications for macroeconomic modeling.
Schlagwörter: 
return predictability
cross-sectional asset pricing
financial intermediation
macrofinance
JEL: 
G10
G12
Dokumentart: 
Working Paper

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