Shaking the tree: an agency-theoretic model of asset pricing

Jamsheed Shorish and Stephen Spear ()

Annals of Finance, 2005, vol. 1, issue 1, 72 pages

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. Copyright Springer-Verlag Berlin Heidelberg 2005

Keywords: Intra-firm dynamics; Agency theory; Asset pricing; Conditional heteroskedasticity; Long memory persistence; G12 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10436-004-0001-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
Chapter: Shaking the Tree: An Agency-Theoretic Model of Asset Pricing (2005)
Working Paper: Shaking the Tree: An Agency Theoretic Model of Asset Pricing
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:kap:annfin:v:1:y:2005:i:1:p:51-72

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10436/PS2

DOI: 10.1007/s10436-004-0001-8

Access Statistics for this article

Annals of Finance is currently edited by Anne Villamil

More articles in Annals of Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().