{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/126957"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/126957","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Intermediation frictions in equity markets","abstract":"Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to household participation.","abstract_html":"Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to household participation.","abstract_has_math":false,"creators":["Seegmiller, Bryan."],"institution":"Massachusetts Institute of Technology","degree_name":"Master","degree_level":null,"degree_discipline":null,"degree_department":"Sloan School of Management","school":null,"contributors":[],"advisors":["Adrien Verdelhan."],"committee_chairs":[],"committee_members":[],"year":2020,"date_issued":"2020","date_published":"2020","updated_at":"2026-07-22T22:20:59Z","subjects":["Sloan School of Management."],"languages":["eng"],"rights":["MIT theses may be protected by copyright. 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After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to household participation."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["S.M. in Management Research"]},{"key":"dc:title","label":"Title","values":["Intermediation frictions in equity markets"]}]}],"canonical_facts":{"dc:contributor.advisor":["Adrien Verdelhan."],"dc:contributor.department":["Sloan School of Management","Sloan"],"dc:contributor.other":["Sloan School of Management."],"dc:creator":["Seegmiller, Bryan."],"dc:date.accessioned":["2020-09-03T16:45:06Z"],"dc:date.available":["2020-09-03T16:45:06Z"],"dc:date.issued":["2020"],"dc:description":["Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, May, 2020","Cataloged from the official PDF of thesis.","Includes bibliographical references (pages 38-41)."],"dc:description.abstract":["Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous shocks to intermediary willingness to take risk and are more predictable by state variables that proxy for intermediary health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to household participation."],"dc:description.degree":["S.M. in Management Research"],"dc:identifier.uri":["https://hdl.handle.net/1721.1/126957"],"dc:language.iso":["eng"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["MIT theses may be protected by copyright. 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