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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Asaf Manela

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

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January 2016Intermediary Asset Pricing: New Evidence from Many Asset Classes
with Zhiguo He, Bryan Kelly: w21920
We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital shocks is consistently positive and of similar magnitude when estimated separately for individual asset classes, suggesting that financial intermediaries are marginal investors in many markets and ...
November 2012Information Acquisition in Rumor Based Bank Runs
with Zhiguo He: w18513
We study information acquisition and dynamic withdrawal decisions when a spreading rumor exposes a solvent bank to a run. Uncertainty about the bank's liquidity and potential failure motivates depositors who hear the rumor to acquire additional noisy signals. Depositors with less informative signals may wait before gradually running on the bank, leading to an endogenous aggregate withdrawal speed and bank survival time. Private information acquisition about liquidity can subject solvent-but-illiquid banks to runs, and shorten the survival time of failing banks. Public provision of solvency information can mitigate runs by indirectly crowding-out individual depositors' effort to acquire liquidity information.

Forthcoming in Journal of Finance

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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