We examine the pricing performance of various measures of dealer risk appetite. We construct a novel measure of risk appetite that captures the provision of leverage to the clients of broker-dealer firms. We also construct a factor mimicking portfolio that tracks shocks to the leverage of...

We interrogate 140 years of macrofinancial data from three directions. The first approach pays attention to the slow buildup of financial imbalances that threaten financial stability and isolates medium-term movements in credit and property prices to identify national financial cycles. We show...

We show that fluctuations in the risk-bearing capacity of US securities broker-dealers are priced in the cross-section of expected stock excess returns. We show that the intermediary risk premium dwarfs the premiums on benchmark factors both unconditionally and dynamically. A portfolio that...