Asset dissertation empirical investigation liquidity pricing

This dissertation consists of three essays on financial intermediation and asset pricing. In the first essay Chapter 1 , I investigate individuals' consumption-portfolio choices in the presence of financial intermediation. Unlike the existing literature where individuals seamlessly transform their savings to productive assets, I show that individuals employ intermediaries and that individuals' consumption growth is a scaled version of intermediaries' liabilities growth. As a consequence, the growth of intermediaries' balance sheet variables, such as liabilities and assets, determines the stochastic discount factor. That is, it is shown that the stochastic discount factor for asset returns is affine in intermediaries' balance sheet shocks.
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Liquidity risk and asset pricing

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Asset Pricing With Liquidity Risk

This paper presents a simple theoretical model that helps explain how asset prices are affected by liquidity risk — the inability to find buyers or sellers of securities at will — and commonality in liquidity. This liquidity-adjusted capital asset pricing model CAPM provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. The model gives an integrated view of the existing empirical evidence related to liquidity and liquidity risk, and it generates new testable predictions. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. In particular, we find that the CAPM applies for returns net of illiquidity costs.
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Market Liquidity: Asset Pricing, Risk and Crises

JavaScript is disabled for your browser. Some features of this site may not work without it. Essays on empirical asset pricing. Author Wei, Chishen.
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