We examine the price of asymmetric dependence (AD) in the cross-section of US equities. Using a $\beta$-invariant AD metric, we demonstrate that the return premium for AD is approximately $47%$ of the premium for $\beta$. The premium for lower-tail AD equivalent to $26%$ of the market risk...

We study a unique data set in order to examine the performance of a sample of 169 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing...

Progressive income taxation regimes can be modelled as a weighted portfolio of European Call options over an individual's gross taxable income. These options are struck at the tax bracket lower bound and weighted by the increment in the marginal tax rate. The government holds a long position in...

The decision of whether a firm should voluntarily liquidate, rather than continue trading, is a function of many parameters including uncertain future earnings, asset depreciation, and the firm's cost-of-debt. We develop an equity valuation model derived from the fundamental accounting equation...