THE JOURNAL OF FINANCE·VOL. LXIX, NO. 6·DECEMBER 2014

金融中介與橫截面資産回報

作者：TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

摘要：相比于代表性的個體，金融中介在多種市場裡使用複雜的模型進行更加頻繁的交易，因此他們的财富邊際價值可以提供一個包含了更多信息的随機貼現因子。本文遵循理論，使用證券經紀商的杠杆沖擊來構造中介的随機貼現因子，得到一個直觀的結果是：融資環境的惡化與去杠杆和财富的高邊際價值相關。本文的單因素模型對規模組合、賬面市值比組合、動量組合和債券組合的定價拟合優度（ ）為77%，并且平均定價誤差控制為1%，這與專門用來對這些資産定價的标準多因素模型的表現不相上下。

關鍵詞：金融中介，随機貼現因子，資産回報

Financial Intermediaries and the Cross-Section of Asset Returns

TOBIAS ADRIAN (Federal Reserve Bank of New York), ERKKO ETULA (Harvard University), TYLER MUIR (Northwestern University-Kellogg School of Management)

ABSTRACT

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, book-to-market, momentum, and bond portfolios with an of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.

Keywords: Financial Intermediaries, SDF, Asset Returns

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12189/full

翻譯：殷曼琳