Shaking the tree: an agency-theoretic model of asset pricing
AbstractIn this paper, we develop an agency-theoretic extension of the Lucas asset pricing model and examine the resulting asset price dynamics. In the model, an agent of the firm can expand or contract the firm’s output and dividend payments in response to exogenous shocks, although expansions become increasingly costly for the agent to maintain. Analysis of numerical simulations shows that the time-series of equilibrium asset prices exhibits both significant time-varying conditional heteroskedasticity, and longer memory persistence. Copyright Springer-Verlag Berlin Heidelberg 2005
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 1 (2005)
Issue (Month): 1 (01)
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Web page: http://www.springerlink.com/link.asp?id=112370
Intra-firm dynamics; Agency theory; Asset pricing; Conditional heteroskedasticity; Long memory persistence; G12;
Other versions of this item:
- Jamsheed Shorish & Stephen Spear, . "Shaking the Tree: An Agency Theoretic Model of Asset Pricing," GSIA Working Papers 2003-E19, Carnegie Mellon University, Tepper School of Business.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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