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Intermediary Asset Pricing and the Financial Crisis

Author

Listed:
  • Zhiguo He

    (Booth School of Business, University of Chicago, Chicago, Illinois 60637, USA)

  • Arvind Krishnamurthy

    (Graduate School of Business, Stanford University, Stanford, California 94305, USA)

Abstract

Intermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest-growing areas of research in finance. This article explains the theory behind intermediary asset pricing and, in particular, how it is different from other approaches to asset pricing. This article also covers selective empirical evidence in favor of intermediary asset pricing.

Suggested Citation

  • Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 173-197, November.
    • Handle: RePEc:anr:refeco:v:10:y:2018:p:173-197
    DOI: 10.1146/annurev-financial-110217-022636
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    More about this item

    Keywords

    liquidity; financial crises; capital; credit; collateral;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G2 - Financial Economics - - Financial Institutions and Services
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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