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Asset returns and financial intermediary leverage : an emprical analysis

Hapnes, Erik
Master thesis
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URI
http://hdl.handle.net/11250/300066
Date
2015
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  • Master Thesis [4656]
Abstract
In this paper the result of Adrian, Etula, and Muir (2014) is reexamined.

They propose a model with nancial intermediary leverage that is able to

price a set of portfolios remarkably well. In this paper the model is estimated

with di erent portfolios as test assets. This is done to account for recent

critiques of the use of size and book-to-market sorted portfolios as test assets.

This paper uses two new sets of portfolios, industry portfolios and portfolios

sorted on size and pre-formation leverage beta. The proposed model with

nancial intermediaries is not able to explain the variation of cross-sectional

average returns on the two new sets of portfolios.

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