研究生workshop由首都经济贸易大学国际经济管理学院主办。主要内容：一是研究生报告前沿或经典文献，二是研究生报告自己的研究或研究设想。论坛宗旨是：为学院师生搭建一个学术交流平台，营造浓厚学术氛围；通过对经典论著或前沿文献的研讨，拓宽研究生的理论视野，提升研究生的前沿方法运用能力，帮助研究生提高论文写作质量。

　　本期workshop

　　报告人：梁华宇（2022级博士研究生）

　　导师：李鲲鹏

　　报告论文：《Financial Intermediaries and the Cross-Section of Asset Returns》Journal of Finance，2014 作者：Tobias Adrian, Erkko Etula and Tyler Muir《金融中介机构与资产收益的横截面》

　　

　　报告摘要：

　　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 R^2 of 77% and an average annual pricing error of 1% - performing as well as standard multifactor benchmarks designed to price these assets.