Intermediaries and Asset Prices: International Evidence since 1870
研究了1870年以来多国商业银行和证券公司的资产负债表扩张对股票、债券、货币和住房回报的负向预测能力，发现这种预测在短期更强且不受宏观经济变量影响，全球金融中心的中介机构能预测国际股票回报。
Abstract We study data on commercial banks and securities firms across multiple countries since 1870. Balance sheet expansion of leveraged intermediaries negatively predicts returns of stocks, bonds, currencies, and housing. The predictability is stronger at shorter horizons, is robust to macroeconomic controls, and holds outside distress periods, in contrast to models featuring nonlinearities during distress. Intermediaries in global financial centers predict international equity returns. A new data set on individual stock holdings of Japanese intermediaries since 1955 shows intermediaries affect returns of stocks directly held. Our results suggest a strong universal link between intermediaries and asset returns distinct from macroeconomic channels.