Heterogeneous intermediary asset pricing

Research output: Contribution to journalArticlepeer-review


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 the level of and variation in the risk premium. 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.

Original languageEnglish (US)
Pages (from-to)505-532
Number of pages28
JournalJournal of Financial Economics
Issue number2
StatePublished - Aug 2021


  • Financial frictions
  • Heterogeneous intermediaries
  • Intermediary asset pricing
  • Leverage

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


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