The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are risk-averse and have common andtrue beliefs, the pricing...

Large shareholders may play an important role for firm performance and policies, butidentifying this empirically presents a challenge due to the endogeneity of ownershipstructures. We develop and test an empirical framework which allows us to separateselection from treatment effects of large...

We develop a dynamic model of corporate investment and financing decisions in whichcorporate insiders have superior information about the firm's growth prospects. We show thatrms with positive private information can credibly signal their type to outside investors usingthe timing of corporate...

The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...

In the recent decade, capital outows from emerging economies, in the form of a demandfor liquid assets, have played a key role in the context of global imbalances. In this paper,we model the demand for liquid assets by rms in a dynamic open-economy macroeconomicmodel. We nd that the implications...

The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...

We want to assess the relationship between the equity and the debt cost of capital. Using a verysimple dividend discount model we compute the implied discount rate and we compare it with thecorresponding premium on the corporate credit default swap using a cointegration approach. Wedemonstrated...

We study mean-variance hedging under portfolio constraints in a general semi-martingale model. The constraints are formulated via predictable correspondences,meaning that the trading strategy is restricted to lie in a closed convex set whichmay depend on the state and time in a predictable way....

We model the dynamics of asset prices and associated derivatives by considerationof the dynamics of the conditional probability density process for the value of an assetat some specied time in the future. In the case where the asset is driven by Brownianmotion, an associated \master equation"...

We provide a representation for the nonmyopic optimal portfolio of an agentconsuming only at the terminal horizon when the single state variable follows ageneral diusion process and the market consists of one risky asset and a risk-freeasset. The key term of our representation is a new object...