Intermediary Capital Ratio and Risk Factor

The following graphs are up-to-date versions of Figure 1 from “Intermediary Asset Pricing: New Evidence from Many Asset Classes,” co-authored with Bryan Kelly and Asaf Manela. The first graph expresses quarterly data from 1970 to the present and the other gives daily data from 2020; in each case, the time-series has been standardized to its respective zero mean and unit variance. Shaded regions indicate NBER recessions. These data were last updated on 6/30/2020 and the raw monthly and quarterly data are also available to download.