Working Paper: NBER ID: w24415
Authors: Zhiguo He; Arvind Krishnamurthy
Abstract: "Intermediary asset pricing'' understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest growing areas of research in finance. This article explains the theory behind intermediary asset pricing and in particular how it is different from other approaches to asset pricing. The article also covers selective empirical evidence in favor of intermediary asset pricing.
Keywords: intermediary asset pricing; financial crisis; risk premia; financial intermediation
JEL Codes: E44
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| intermediary asset pricing (G19) | asset prices (G19) |
| intermediary health (I14) | asset valuations (G32) |
| intermediary capital shocks (F65) | asset prices (G19) |
| intermediary frictions (F12) | asset prices (G19) |
| intermediary frictions (F12) | household Euler equations (G59) |
| veil hypothesis (B54) | asset pricing (G19) |
| intermediary behavior (D16) | asset pricing (G19) |