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Procyclical leverage in Europe and its role in asset pricing
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Authors and Corporations: | , , |
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Other Authors: | Koehl, Alexandra [Author] • Reitz, Stefan 1964- [Author] |
Type of Resource: | E-Book |
Language: | English |
published: | |
Series: |
Deutsche Bundesbank: Discussion paper ; no 2019, 10
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Subjects: | |
Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
ISBN: | 9783957295705 |
Summary: | 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. |
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Physical Description: | 1 Online-Ressource (circa 34 Seiten); Illustrationen |
ISBN: | 9783957295705 |