NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Intermediary Asset Pricing and the Financial Crisis

Zhiguo He, Arvind Krishnamurthy

NBER Working Paper No. 24415
Issued in March 2018
NBER Program(s):Asset Pricing Program, Corporate Finance Program, The Monetary Economics Program

"Intermediary asset pricing'' understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest growing areas of research in finance. This article explains the theory behind intermediary asset pricing and in particular how it is different from other approaches to asset pricing. The article also covers selective empirical evidence in favor of intermediary asset pricing.

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Document Object Identifier (DOI): 10.3386/w24415

Published: Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, vol 10(1), pages 173-197.

 
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