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Cited by 837

The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.

Financial Intermediaries and the Cross‐Section of Asset Returns

Open access
ADRIAN, TOBIAS, ETULA, ERKKO, MUIR, TYLER·2014·The Journal of Finance
DOI 10.1111/jofi.12189
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Abstract

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker‐dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single‐factor model prices size, book‐to‐market, momentum, and bond portfolios with an R2 of 77% and an average annual pricing error of 1%—performing as well as standard multifactor benchmarks designed to price these assets.

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Crossref · 10.1111/jofi.12189

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Metadata

Authors
ADRIAN, T., ETULA, E., & MUIR, T.
Venue
The Journal of Finance
Publisher
Wiley
Published
2014-11-10
Volume
69
Issue
6
Pages
2557-2596
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12189
OpenAlex
W2334058874
Cited by
837
References
33
FWCI
119.15
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Financial Intermediaries and the Cross‐Section of Asset Returns. https://app.cochat.ai/papers/10.1111/jofi.12189
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ADRIAN, T., ETULA, E., & MUIR, T. (2014). Financial Intermediaries and the Cross‐Section of Asset Returns. The Journal of Finance. https://doi.org/10.1111/jofi.12189

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.