THE JOURNAL OF FINANCE·VOL. LXIX, NO. 6·DECEMBER 2014

金融中介与横截面资产回报

作者：TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

摘要：相比于代表性的个体，金融中介在多种市场里使用复杂的模型进行更加频繁的交易，因此他们的财富边际价值可以提供一个包含了更多信息的随机贴现因子。本文遵循理论，使用证券经纪商的杠杆冲击来构造中介的随机贴现因子，得到一个直观的结果是：融资环境的恶化与去杠杆和财富的高边际价值相关。本文的单因素模型对规模组合、账面市值比组合、动量组合和债券组合的定价拟合优度（ ）为77%，并且平均定价误差控制为1%，这与专门用来对这些资产定价的标准多因素模型的表现不相上下。

关键词：金融中介，随机贴现因子，资产回报

Financial Intermediaries and the Cross-Section of Asset Returns

TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

ABSTRACT

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, book-to-market, momentum, and bond portfolios with an of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.

Keywords: Financial Intermediaries, SDF, Asset Returns

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12189/full

翻译：殷曼琳