Intermediary Asset Pricing: New Evidence from Many Asset Classes

By Zhiguo He, Bryan T. Kelly, Asaf Manela. 2017

553 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/28428cea8e8e8fdc71ce549d6c5ca1193aace16b

Citations in the corpus

• Shrinking the Cross Section∗ (2017, unknown): “For example, He et al. (2016) construct a 2-factor SDF which includes the excess market return and the change in aggregate financial intermediary leverage.”
• Taming the Factor Zoo: A Test of New Factors (2019, unknown): “…and Ross (1986), Jagannathan and Wang (1996), Lettau and Ludvigson (2001), Pástor and Stambaugh (2003), Yogo (2006), Adrian, Etula, and Muir (2014), He, Kelly, and Manela (2017)); others are constructed from firm characteristics, for example, Fama and French (1993, 2015), Carhart (1997), and Hou,…”
• Model Comparison with Sharpe Ratios (2019, unknown): “The 8 models include the He et al. (2017) 2-factor model (MKT + FIRFT), the bettingagainst-beta extension of the CAPM (MKT + BAB) of Frazzini and Pedersen (2014), the Hou et al. (2015) 4-factor model (HXZ), the Stambaugh and Yuan (2017) mispricing model (SY), the Fama and French (2018) 5-factor…”