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Three Essays On Financial Intermediation And Asset Pricing, Ujjal Chatterjee

Theses and Dissertations

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 …