Arbeitspapier
Procyclical leverage in Europe and its role in asset pricing
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.
- ISBN
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978-3-95729-570-5
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 10/2019
- Classification
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Wirtschaft
Price Level; Inflation; Deflation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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broker-dealer leverage
intermediary asset pricing
dynamic asset pricing
- Event
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Geistige Schöpfung
- (who)
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Baltzer, Markus
Koehl, Alexandra
Reitz, Stefan
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Baltzer, Markus
- Koehl, Alexandra
- Reitz, Stefan
- Deutsche Bundesbank
Time of origin
- 2019
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