THE JOURNAL OF FINANCE·VOL. LXIX, NO. 6·DECEMBER 2014

金融中介与横截面资产回报

作者：TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

摘要：相比于代表性的个体，金融中介在多种市场里使用复杂的模型进行更加频繁的交易，因此他们的财富边际价值可以提供一个包含了欧洲杯网站_欧洲杯下注平台-官网推荐信息的随机贴现因子。本文遵循理论，使用证券经纪商的杠杆冲击来构造中介的随机贴现因子，得到一个直观的结果是：融资环境的恶化与去杠杆和财富的高边际价值相关。本文的单因素模型对规模组合、账面市值比组合、动量组合和债券组合的定价拟合优度（ ）为77%，并且平均定价误差控制为1%，这与专门用来对这些资产定价的标准多因素模型的表现不相上下。

关键词：金融中介，随机贴现因子，资产回报

Financial Intermediaries and the Cross-Section of Asset Returns

TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

ABSTRACT

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, book-to-market, momentum, and bond portfolios with an of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.

Keywords: Financial Intermediaries, SDF, Asset Returns

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12189/full

翻译：殷曼琳