My dissertation concerns the equilibrium asset pricing and its implications when agents are heterogenous. There are three chapters in the dissertation. In chapter one, I study the asset pricing implications of default in an equilibrium model with incomplete markets. Defaultable debt is not...

This paper studies a dynamic equilibrium asset pricing model with managerial moral hazard. A representative, all-equity firm is owned by two separate types of constant absolute risk-aversion (CARA) investors---a large shareholder and a continuum of small shareholders. The large shareholder holds...

We examine the dynamic properties of equilibrium stock returns in an incomplete information economy in which the agents need to learn the hidden state of the endowment process. We consider both the case of optimal Bayesian learning and suboptimal learning, including near-rational learning, over-...

Fama and French (2006) use the dividend-discount model to develop the role of expected profitability, expected investment, and the book-to-market ratio as predictors of stock returns. One reported empirical result is anomalous. The valuation model establishes that the comparative static relation...