The field of asset pricing has experienced new developments that have questioned the validity of early asset pricing models based on the marginal investor’s perspective. Recently, the literature has been focusing on investment-based asset pricing models, using proxies for the marginal value of wealth of the financial intermediary as Stochastic Discount Factor. I empirically tested a single-factor model based on the leverage of European financial intermediaries on a cross-section of European portfolios, finding a positive and significant price of risk and a good performance in terms of R^2, although not as good as the standard asset pricing models, used as benchmarks.

The role of European financial intermediaries in asset pricing

Monteleone, Giuseppina
2023/2024

Abstract

The field of asset pricing has experienced new developments that have questioned the validity of early asset pricing models based on the marginal investor’s perspective. Recently, the literature has been focusing on investment-based asset pricing models, using proxies for the marginal value of wealth of the financial intermediary as Stochastic Discount Factor. I empirically tested a single-factor model based on the leverage of European financial intermediaries on a cross-section of European portfolios, finding a positive and significant price of risk and a good performance in terms of R^2, although not as good as the standard asset pricing models, used as benchmarks.
2023-07-10
File in questo prodotto:
File Dimensione Formato  
892125-1284112.pdf

non disponibili

Tipologia: Altro materiale allegato
Dimensione 782.68 kB
Formato Adobe PDF
782.68 kB Adobe PDF

I documenti in UNITESI sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14247/17907