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Leverage and the price volatility of equity shares in equilibrium

  • Drees, Burkhard
  • Eckwert, Bernhard

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File URL: http://www.sciencedirect.com/science/article/B6W5X-410MJ5T-1/2/a46fe1d4b92e37e98e3b97c640e16d98
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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 40 (2000)
Issue (Month): 2 ()
Pages: 155-167

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Handle: RePEc:eee:quaeco:v:40:y:2000:i:2:p:155-167
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
  2. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  3. Miller, Merton H., 1990. "Leverage," Nobel Prize in Economics documents 1990-2, Nobel Prize Committee.
  4. Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
  5. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
  6. Leland, Hayne E & Pyle, David H, 1977. "Informational Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance, American Finance Association, vol. 32(2), pages 371-87, May.
  7. Sandmo, Agnar, 1969. "Capital Risk, Consumption, and Portfolio Choice," Econometrica, Econometric Society, vol. 37(4), pages 586-99, October.
  8. Bernhard Eckwert, 1992. "Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 47-60.
  9. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  10. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May.
  11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  12. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
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