Shaking the Tree: An Agency Theoretic Model of Asset Pricing

Jamsheed Shorish and Stephen Spear ()

No 2003-E19, GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: In 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.

New Economics Papers: this item is included in nep-cmp and nep-fin
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://student-3k.tepper.cmu.edu/gsiadoc/wp/2003-E19.pdf
Our link check indicates that this URL is bad, the error code is: 401 Unauthorized

Related works:
Chapter: Shaking the Tree: An Agency-Theoretic Model of Asset Pricing (2005)
Journal Article: Shaking the tree: an agency-theoretic model of asset pricing (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cmu:gsiawp:-1602558152

Ordering information: This working paper can be ordered from
https://student-3k.t ... /gsiadoc/GSIA_WP.asp

Access Statistics for this paper

More papers in GSIA Working Papers from Carnegie Mellon University, Tepper School of Business Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890.
Bibliographic data for series maintained by Steve Spear ().