Journal of Financial Economics·Volume 126, Issue 1·October 2017·Pages 1-35

中介资产定价：许多资产类别的新证据

作者：Zhiguo He（University of Chicago, Booth School of Business, and NBER）

Bryan Kelly（University of Chicago, Booth School of Business, and NBER）

Asaf Manela（Washington University, Olin Business School）

摘要：我们发现，金融中介机构——纽约联邦储备银行的一级交易商对象——权益资本比率的冲击对预期收益的横截面变化具有显著的解释力。这不仅适用于普遍研究的股票和政府债券市场组合，而且适用于其他更复杂的资产类别，如公司和主权债券、衍生品、商品和货币。 我们的中介资本风险因子是顺周期的，意味着反周期的中介杠杆。在对单个资产类别进行分别估计时，中介资本冲击的风险价格一直是正的，并且具有相似的量级，这表明金融中介是许多市场的边际投资者，因此也是了解资产价格的关键。

关键词：复杂的资产类别，一级交易商，中介资本，杠杆周期

Intermediary asset pricing: New evidence from many asset classes

Zhiguo He（University of Chicago, Booth School of Business, and NBER）, Bryan Kelly（University of Chicago, Booth School of Business, and NBER）, Asaf Manela（Washington University, Olin Business School）

ABSTRACT

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for cross-sectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly procyclical, implying countercyclical intermediary leverage. The price of risk for intermediary capital shocks is consistently positive and of similar magnitude when estimated separately for individual asset classes, suggesting that financial intermediaries are marginal investors in many markets and hence key to understanding asset prices.

Keywords：Sophisticated asset classes, Primary dealers, Intermediary capital, Leverage cycles

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X1730212X#!

翻译：何杉