Do Intermediaries Matter for Aggregate Asset Prices?
研究发现，金融中介健康状况差时资产价格低、风险溢价高，且这种关系在家庭参与少的资产类别中更明显，表明中介对信用和抵押贷款支持证券等大类资产的风险溢价变化有显著影响。
ABSTRACT Poor financial health of intermediaries coincides with low asset prices and high risk premiums. Is this because intermediaries matter for asset prices, or because their health correlates with economy‐wide risk aversion? In the first case, return predictability should be more pronounced for asset classes in which households are less active. We provide evidence supporting this prediction, suggesting that a quantitatively sizable fraction of risk premium variation in several large asset classes such as credit or mortgage‐backed securities (MBS) is due to intermediaries. Movements in economy‐wide risk aversion create the opposite pattern, and we find this channel also matters.