We demonstrate that a financial intermediary-based asset pricing model offers a compelling explanation for a new set of conditional moments of equity term structure and convenience yields. The model’s key mechanism is that the time-varying tightness of intermediaries’ leverage constraints drives significant mean reversion in the price of risk. This model guides us in devising a novel empirical methodology to estimate the tightness of these constraints (i.e., the Relative Tightness Index) from cross-sectional returns of various asset classes. Our findings affirm that this measure significantly drives the dynamics of equity yield slope and convenience yields, both empirically and quantitatively.

中文翻译：

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基于中介的股权期限结构


我们证明，基于金融中介的资产定价模型为股权期限结构和便利收益率的一组新条件矩提供了令人信服的解释。该模型的关键机制是，中介机构杠杆约束随时间变化的严格性会导致风险价格显着均值回归。该模型指导我们设计一种新颖的实证方法，根据各种资产类别的横截面回报来估计这些约束的严格程度（即相对紧密度指数）。我们的研究结果证实，无论是在经验上还是在数量上，这一指标都显着推动了股票收益率斜率和便利收益率的动态变化。