Essays about: "Intermediary Asset Pricing"

Found 2 essays containing the words Intermediary Asset Pricing.

  1. 1. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

  2. 2. Intermediary Asset Pricing and the Swedish Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jakob Barketorp Dirke; Charles Ye; [2016]
    Keywords : Financial intermediaries; Swedish equity market; Asset pricing; Leverage ratio;

    Abstract : Increasingly, the focus of asset pricing research has shifted from the average household to the more sophisticated financial intermediaries. Our paper is the first to introduce this notion to the Swedish equity market by testing two intermediary asset pricing models, one based on shocks to broker-dealer leverage, and the other based on the return on aggregate wealth together with shocks to the primary dealer capital ratio. READ MORE