The commercial bank leverage factor in U.S. asset prices
Marius M. Mihai
The Quarterly Review of Economics and Finance, 2022, vol. 86, issue C, 156-171
Abstract:
I present novel results on a commercial bank leverage factor that drives U.S. asset prices. Portfolios which load negatively on this risk factor and are comprised of firms that are less resilient in credit expansions earn higher returns on average. In the time-series, a simple buy-and-hold strategy of the market index at medium- and long-horizons illustrates how investors can profit on the commercial bank loan cycle and earn higher returns and Sharpe ratios in recoveries and early stages of an expansion as opposed to credit booms.
Keywords: Commercial bank leverage factor; Credit boom probability; Risk-premium; Sharpe ratio; Cross-section of returns (search for similar items in EconPapers)
JEL-codes: E51 G17 G21 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976922000795
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:86:y:2022:i:c:p:156-171
DOI: 10.1016/j.qref.2022.07.004
Access Statistics for this article
The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty
More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().