EconPapers    
Economics at your fingertips  
 

Dynamic leverage asset pricing

Tobias Adrian (), Emanuel Moench () and Hyun Song Shin

No 625, Staff Reports from Federal Reserve Bank of New York

Abstract: We empirically investigate predictions from alternative intermediary asset pricing theories. The theories distinguish themselves in their use of intermediary equity or leverage as pricing factors or forecasting variables. We find strong support for a parsimonious dynamic pricing model based on broker-dealer leverage as the return forecasting variable and shocks to broker-dealer leverage as a cross-sectional pricing factor. The model performs well in comparison to other intermediary asset pricing models as well as benchmark pricing models, and extends the cross-sectional results by Adrian, Etula, and Muir (2013) to a dynamic setting.

Keywords: dynamic asset pricing; intermediary asset pricing; leverage cycle (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-ifn and nep-mac
Date: 2013, Revised 2014-12-01
Note: Previous title: “Leverage Asset Pricing”
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr625.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr625.pdf Full text (application/pdf)

Related works:
Working Paper: Dynamic Leverage Asset Pricing (2016) Downloads
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:fip:fednsr:625

Ordering information: This working paper can be ordered from
http://www.ny.frb.org/rmaghome/staff_rp/

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Amy Farber ().

 
Page updated 2018-08-11
Handle: RePEc:fip:fednsr:625