Year: 2015
Type: dissertation
Abstract: In this paper the result of Adrian, Etula, and Muir (2014) is reexamined.\nThey propose a model with nancial intermediary leverage that is able to\nprice a set of portfolios remarkably well. In this paper the model is estimated\nwith di erent portfolios as test assets. This is done to account for recent\ncritiques of the use of size and book-to-market sorted portfolios as test assets.\nThis paper uses two new sets of portfolios, industry portfolios and portfolios\nsorted on size and pre-formation leverage beta. The proposed model with\n nancial intermediaries is not able to explain the variation of cross-sectional\naverage returns on the two new sets of portfolios.
Source: BIBSYS Brage (BIBSYS (Norway))
Author: Erik Hapnes
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2493548564