Parametry
Více o knize
Broker-dealer leverage has recently proven to be strongly procyclical, exhibiting impressive explanatory power for a large cross-section of asset returns in the US. In this paper we add empirical evidence to this finding, showing that European and German broker-dealers actively manage their balance sheets. Moreover, by applying standard Fama-MacBeth regressions as well as dynamic asset pricing models (Adrian, Crump, and Moench, 2015), we confirm the importance of brokerdealer balance-sheet indicators for asset pricing. In particular, leverage shows a procyclical behavior with a positive price of risk. Moreover, high leverage coincides with high asset prices, thereby forecasting lower future returns.
Nákup knihy
Procyclical leverage in Europe and its role in asset pricing, Markus Baltzer
- Jazyk
- Rok vydání
- 2019
Doručení
Platební metody
Navrhnout úpravu
- Titul
- Procyclical leverage in Europe and its role in asset pricing
- Jazyk
- anglicky
- Autoři
- Markus Baltzer
- Vydavatel
- Deutsche Bundesbank
- Rok vydání
- 2019
- ISBN10
- 3957295696
- ISBN13
- 9783957295699
- Kategorie
- Podnikání a ekonomie
- Anotace
- Broker-dealer leverage has recently proven to be strongly procyclical, exhibiting impressive explanatory power for a large cross-section of asset returns in the US. In this paper we add empirical evidence to this finding, showing that European and German broker-dealers actively manage their balance sheets. Moreover, by applying standard Fama-MacBeth regressions as well as dynamic asset pricing models (Adrian, Crump, and Moench, 2015), we confirm the importance of brokerdealer balance-sheet indicators for asset pricing. In particular, leverage shows a procyclical behavior with a positive price of risk. Moreover, high leverage coincides with high asset prices, thereby forecasting lower future returns.