Heterogeneous Intermediary Asset Pricing


I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with heterogeneous intermediaries facing financial frictions. Asset flows between intermediaries are quantitatively important for both level and variation of risk premia. An empirical measure of the composition of the intermediary sector negatively forecasts future excess returns and is priced in the cross-section with a positive price of risk.

Journal of Financial Economics
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Mahyar Kargar
Mahyar Kargar
Assistant Professor of Finance

My research interests include financial intermediation, asset pricing, and macro-finance.