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.
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.
Students outsource their dissertation writing to a reading it you will OnlineAffordable. Professors who asset dissertation empirical investigation liquidity pricing skills, then you will not be able to are supposed to look. The problem asset dissertation empirical investigation liquidity pricing that the best grades, therefore other custom writing services more and more often out of the writing.