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Linear Stochastic Dividend Model

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Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

The Dark Side of Outside Directors: Do They Quit When They are Most Needed?

Rüdiger Fahlenbrach

Outside directors have incentives to resign to protect their reputation or to avoid an increase in their workload when they anticipate that the firm on whose board they sit will perform poorly or disclose adverse news. We call these incentives the dark sid ...

Fisher College of Business2010

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...

2009

Founder-CEOs, investment decisions, and stock market performance

Rüdiger Fahlenbrach

Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms with respect to firm valuation, investment behavior, and stock market performance. Founder-CEO firm ...

Cambridge University Press2009

Stock returns in mergers and acquisitions

Erwan Morellec

This paper develops a real options framework to analyze the behavior of stock returns in mergers and acquisitions. In this framework, the timing and terms of takeovers are endogenous and result from value-maximizing decisions. The implications of the model ...

2008

Essays on Corporate Governance

Rüdiger Fahlenbrach

This dissertation comprises two essays oncorporate governance. The second essay, "Founder-CEOs and Stock MarketPerformance," compares the stock market performance of firms headed byfounder-CEO firms with successor-CEO firms. Eleven percent of the largest U ...

University of Illinois2005

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005