This paper proposes an equilibrium model for evaluating equity with optimal dividend policy in a jump-diffusion market. In this model, a representative investor having power utility over an aggregate consumption process evaluates the equity as the expected value of the discounted dividends with...

This paper examines the behavior of the market equilibrium in an endowment economy in continuous time, in which a representative investor with exponential utility consumes the dividends generated by multiple risky assets. The dividends are assumed to be mutually independent and belong to a class...

This research is aimed at examining the theoretical relations between expected option returns and a pricing kernel. Under mild assumptions, it is demonstrated that the condition of the tail of the pricing kernel slope characterizes the slope and curvature of the expected option returns. This...