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Intermediary Asset Pricing and the Financial Crisis
16 references·16 citing·42 second hopsampled
Intermediary Asset Pricing and the Financial Crisis (2018)Intermediary Asset Pricing and the Financ…Intermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…Dollar Funding and the Lending Behavior of Global Banks* (2015)Dollar Funding and the Lendin…Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Financial Intermediaries and …A Macroeconomic Model with a Financial Sector (2014)A Macroeconomic Model with a …Intermediary Asset Pricing (2013)Intermediary Asset PricingA Model of Capital and Crises (2011)A Model of Capital and CrisesPresidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)Limits of Arbitrage: Theory a…Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns (2007)Lazy Investors, Discretionary…Do Firms Rebalance Their Capital Structures? (2005)Do Firms Rebalance Their Capi…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Optimal Financial Crises (1998)Optimal Financial CrisesTwo-Person Dynamic Equilibrium in the Capital Market (1989)Two-Person Dynamic Equilibriu…Banking in the theory of finance (1980)Banking in the theory of fina…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Slow Moving CapitalSlow Moving CapitalMarket power in wholesale funding: A structural perspective from the triparty repo market (2023)Market power in wholesale fun…Dealer Capacity and U.S. Treasury Market Functionality (2023)Dealer Capacity and U.S. Trea…Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models (2022)Macro‐Finance Decoupling: Rob…Global Banks and Systemic Debt Crises (2022)Global Banks and Systemic Deb…Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress (2022)Commonality in Credit Spread …CIP deviations, the dollar, and frictions in international capital markets (2022)CIP deviations, the dollar, a…Are Intermediary Constraints Priced? (2022)Are Intermediary Constraints …Currency Mispricing and Dealer Balance Sheets (2021)Currency Mispricing and Deale…When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)When Selling Becomes Viral: D…Treasury Inconvenience Yields during the COVID-19 Crisis (2020)Treasury Inconvenience Yields…Model‐Free International Stochastic Discount Factors (2020)Model‐Free International Stoc…A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “Covid-19” Shock (2020)A Model of Endogenous Risk In…A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a 'COVID-19' Shock (2020)A Model of Endogenous Risk In…Are Intermediary Constraints Priced? (2019)Are Intermediary Constraints …Leveraged Funds and the Shadow Cost of Leverage Constraints (2018)Leveraged Funds and the Shado…Effective demand failures and the limits of monetary stabilization policyEffective demand failures and…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Loan Sales and the Cost of Bank Capital (1988)Noninterest Income and Financial Performance at U.S. Commercial Banks (2004)The cost of capital, corporation finance and the theory of investment (2008)The effects of focus versus diversification on bank performance: Evidence from Chinese banks (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Increasing Returns and Long-Run Growth (1986)Sudden Stops, Financial Crises, and Leverage (2010)CoVaR (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Capital Structure Puzzle (1984)The New Issues Puzzle (1995)Market Liquidity and Funding Liquidity (2008)Monetary Policy as Financial Stability Regulation (2012)International Liquidity and Exchange Rate Dynamics * (2015)Manias, Panics, and Crashes: A History of Financial Crises (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)Agency Costs, Net Worth, And Business Fluctuations (1988)Liquidity Shortages and Banking Crises (2002)Market Liquidity and Funding Liquidity (2005)Network models and financial stability (2007)Common risk factors in the returns on stocks and bonds (1993)A five-factor asset pricing model (2014)Short and Long Horizon Behavioral Factors (2017)Deviations from Covered Interest Rate Parity (2018)Taming the Factor Zoo: A Test of New Factors (2020)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Corporate financing and investment decisions when firms have information that investors do not have (1984)Does the Source of Capital Affect Capital Structure? (2005)Financing patterns around the world: Are small firms different?☆ (2008)Macroeconomic Effects of Financial Shocks (2012)Asset Prices in an Exchange Economy (1978)Credit Cycles (1997)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)The Deposits Channel of Monetary Policy* (2017)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2014A Macroeconomic Model with a Financial Sector1,976 cited
  • 2005Do Firms Rebalance Their Capital Structures?1,495 cited
  • 2013Intermediary Asset Pricing1,401 cited
  • 1998Optimal Financial Crises1,016 cited
  • 1980Banking in the theory of finance863 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited
  • 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
  • 2017Intermediary asset pricing: New evidence from many asset classes792 cited
  • 2011A Model of Capital and Crises499 cited
  • n.d.Slow Moving Capital464 cited
  • 1989Two-Person Dynamic Equilibrium in the Capital Market376 cited
  • 2015Dollar Funding and the Lending Behavior of Global Banks*357 cited
  • 2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns311 cited
  • 2007Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market

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  • 2020When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response166 cited
  • 2020Treasury Inconvenience Yields during the COVID-19 Crisis87 cited
  • 2021Currency Mispricing and Dealer Balance Sheets86 cited
  • 2022Are Intermediary Constraints Priced?81 cited
  • 2022Global Banks and Systemic Debt Crises61 cited
  • n.d.Effective demand failures and the limits of monetary stabilization policy57 cited
  • 2020Model‐Free International Stochastic Discount Factors55 cited
  • 2022CIP deviations, the dollar, and frictions in international capital markets54 cited
  • 2022Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress50 cited
  • 2020A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a 'COVID-19' Shock43 cited
  • 2023Dealer Capacity and U.S. Treasury Market Functionality38 cited
  • 2019Are Intermediary Constraints Priced?35 cited
  • 2023Market power in wholesale funding: A structural perspective from the triparty repo market34 cited
  • 2020A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a “Covid-19” Shock29 cited
  • 2022Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models28 cited
  • 2018Leveraged Funds and the Shadow Cost of Leverage Constraints28 cited