Financial Intermediaries and the Cross‐Section of Asset Returns
研究发现，证券经纪交易商的杠杆冲击能构建一个有效的随机贴现因子，该单因子模型对规模、账面市值比、动量及债券组合的定价R²达77%，年均定价误差仅1%，表现不逊于多因子基准模型。
ABSTRACT Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker‐dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single ‐factor model prices size, book‐to‐market, momentum, and bond portfolios with an R 2 of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.