We propose an asset pricing model in a production economy where cash flows are determined by firms' optimal dividend and investment decisions. Extensive and intensive decision margins in dividend payout are modeled with cash holding and investment adjustment costs. The model implies that delays...

Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To...

This dissertation examines the relative importance of the information effect oncorporate takeover in total takeover gains. It develops the measure of information effectbased on the residual income valuation model with I/B/E/S analysts' abnormal earningsforecast revisions. Empirical results show...