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Intermediary Asset Pricing and the Financial Crisis

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  • Zhiguo He
  • Arvind Krishnamurthy

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. The 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," NBER Working Papers 24415, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:24415
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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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