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We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
This paper presents a game-theoretic model for the international negotiations that should take place to renew or extend the Kyoto protocol beyond 2012. These negotiations should lead to a self-enforcing agreement on a burden sharing scheme to realize the n ...
This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochasti ...
Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks ...
We develop a dynamic tradeoff model to examine the importance of managershareholder conflicts in capital structure choice. In the model, firms face taxation, refinancing costs, and liquidation costs. Managers own a fraction of the firms equity, capture par ...
UrbanSim is an integrated transportation land-use model that has been under development since the late 1990s. It has received a significant amount of attention in the integrated modeling community. It is well known for its disaggregated approach. A number ...
We introduce in this thesis the idea of a variable lookback model, i.e., a model whose predictions are based on a variable portion of the information set. We verify the intuition of this model in the context of experimental finance. We also propose a novel ...
We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
