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Intermediary Asset Pricing and the Financial Crisis

Zhiguo He () and Arvind Krishnamurthy

Annual Review of Financial Economics, 2018, vol. 10, issue 1, 173-197

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. This article also covers selective empirical evidence in favor of intermediary asset pricing.

Keywords: liquidity; financial crises; capital; credit; collateral (search for similar items in EconPapers)
JEL-codes: E44 G12 G2 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (41)

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