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Intermediary Asset Pricing and the Financial Crisis

Zhiguo He () and Arvind Krishnamurthy

No 24415, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E44 (search for similar items in EconPapers)
Date: 2018-03
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mac
Note: AP CF ME
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Citations: View citations in EconPapers (45)

Published as Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, vol 10(1), pages 173-197.

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