2026-09-18T18:42:21Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1269572021-07-05T14:03:20Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Adrien Verdelhan.
Seegmiller, Bryan.
Sloan School of Management.
Sloan School of Management
2020-09-03T16:45:06Z
2020-09-03T16:45:06Z
2020
2020
https://hdl.handle.net/1721.1/126957
1191221194
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, May, 2020
Cataloged from the official PDF of thesis.
Includes bibliographical references (pages 38-41).
Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to household participation.
by Bryan Seegmiller.
S.M. in Management Research
S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management
64 pages
eng
Massachusetts Institute of Technology
MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Intermediation frictions in equity markets
Thesis
application/pdf
2020-09-03T16:45:03Z
Publication
Master
Sloan
unknown
unknown
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