Intermediary asset pricing
We present a model to study the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face a constraint on raising equity capital. When the constraint binds, so that intermediaries' equity capital is scarce, risk premia ri...
Main Author: | He, Zhiguo |
---|---|
Corporate Author: | National Bureau of Economic Research |
Other Authors: | Krishnamurthy, Arvind |
Format: | Electronic Book |
Language: | English |
Published: |
Cambridge, Mass. :
National Bureau of Economic Research,
c2008
|
Series: | Working paper series (National Bureau of Economic Research) ;
working paper no. 14517 |
Subjects: |
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