Arbeitspapier
Procyclical leverage in Europe and its role in asset pricing
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.
- Sprache
-
Englisch
- ISBN
-
978-3-95729-570-5
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 10/2019
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
broker-dealer leverage
intermediary asset pricing
dynamic asset pricing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baltzer, Markus
Koehl, Alexandra
Reitz, Stefan
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Baltzer, Markus
- Koehl, Alexandra
- Reitz, Stefan
- Deutsche Bundesbank
Entstanden
- 2019
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