Financial Intermediaries and the Cross-Section of Asset Returns: Financial Intermediaries and the Cross-Section of Asset Returns

By Tobias Adrian, Erkko M. Etula, Tyler Muir. 2014

336 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5c83670cb22f30112e6def00d65f98570dbaa206

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Citations in the corpus

Credit-Market Sentiment and the Business Cycle (2017, neutral): “Adrian, Etula, and Muir (2014) argue that in a world of segmented markets, the wealth of brokerdealers is the stochastic discount factor that prices risky assets—when broker-dealer balance sheets are strong and the marginal value of their wealth is low, expected returns on risky assets are low as…”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, positive): “An important precursor to our paper is Adrian et al. (2014a) (henceforth AEM), which is the first paper to unite the intermediary-based paradigm with mainstream empirical asset pricing.”
The Great Housing Boom of China (2014, neutral): “…know, the best empirical approach to support the marginal investor theory in the asset pricing literature is to assess the predictive power of the investors’marginal value of wealth (proxied by their leverage position) on the excess asset returns (see, for example, Adrian, Etula, and Muir, 2014).”
The History and Economics of Safe Assets (2016, neutral): “Asset pricing models that, for these reasons, view financial intermediaries as the center of asset pricing include those of He & Krishnamurthy (2012), Adrian et al. (2014), Brunnermeier & Sannikov (2014), and Moreira & Savov (2017).”
Financial Crises and Risk Premia (2017, neutral): “…The article provides a suggestive link between aggregate risk premia and the financial sector that is related to findings by Adrian, Moench, and Shin (2015) and Adrian, Etula, and Muir (2014), who find intermediary balance sheets help explain the time-series and cross-section of asset returns.”
Taming the Factor Zoo: A Test of New Factors (2019, neutral): “…Breeden (1979), Chen, Roll, 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,…”
Volatility‐Managed Portfolios (2017, neutral): “This would be inconsistent with both theory and empirical evidence that it is easier to take on leverage in periods of low volatility (Brunnermeier and Pedersen (2009), Adrian et al. (2014)).”
Conditional Risk Premia in Currency Markets and Other Asset Classes (2014, neutral): “Adrian, Etula, and Muir (2014) test a model of financial constraints and leverage in which the discount factor loads on negative outcomes for broker-dealer firms.”