Intermediary Leverage Shocks and Funding Conditions
研究发现，券商杠杆受需求和供给冲击影响，两者对市场有相反效应：供给冲击放松融资约束，提高杠杆、流动性和回报；需求冲击虽提高杠杆但降低流动性和回报。这解释了杠杆风险定价的谜题。
ABSTRACT The aggregate leverage of broker‐dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker‐dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand‐ and supply‐like shocks resolves existing puzzles around the price of leverage risk and yields consistent evidence across many markets of a central role for intermediation frictions and dealers' aggregate leverage in asset pricing.