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Found 2 essays matching the above criteria.
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1. The Momentum Premium: An Intermediary Asset Pricing Perspective
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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2. Intermediary Asset Pricing and the Swedish Equity Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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