We study data on commercial banks and securities firms across multiple countries since 1870. Balance sheet expansion of leveraged intermediaries negatively predicts returns of stocks, bonds, currencies, and housing. The predictability is stronger at shorter horizons, is robust to macroeconomic controls, and holds outside distress periods, in contrast to models featuring nonlinearities during distress. Intermediaries in global financial centers predict international equity returns. A new data set on individual stock holdings of Japanese intermediaries since 1955 shows intermediaries affect returns of stocks directly held. Our results suggest a strong universal link between intermediaries and asset returns distinct from macroeconomic channels.

中文翻译：

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中介机构和资产价格：1870 年以来的国际证据

我们研究了 1870 年以来多个国家的商业银行和证券公司的数据。杠杆中介的资产负债表扩张对股票、债券、货币和住房的回报产生负面预测。与在困境期间具有非线性特征的模型相比，可预测性在更短的范围内更强，对宏观经济控制具有鲁棒性，并且在困境期间之外保持不变。全球金融中心的中介机构预测国际股票回报。1955 年以来日本中介机构持有的个股新数据集显示中介机构影响直接持有股票的回报。我们的结果表明，中介机构与不同于宏观经济渠道的资产回报之间存在很强的普遍联系。