This paper investigates how concentrated ownership of capital influences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. I show that concentrated ownership significantly magnifies the equity risk premium relative to an otherwise similar representative-agent economy because the capital owners' consumption is more strongly linked to volatile dividends from equity. A temporary shock to the technology for producing new capital (an "investment shock") causes dividend growth to be much more volatile than aggregate consumption growth, as in long-run U.S. data. The investment shock can also be interpreted as a depreciation shock, or more generally, ...
University of Minnesota Ph.D. dissertation. May 2016. Major: Business Administration. Advisors: Jian...
We study the implications of recent advances in the asset pricing literature on investment, and vice...
This thesis explores links between aggregate investment and asset prices. Many popular theories that...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
I study the dynamics of asset prices in an economy in which investors choose whether to hold diversi...
Recent developments in the asset pricing literature show that a combination of technology and distri...
This paper advances a simple model that emphasizes the diversity of capital types, some of these typ...
This paper is motivated by the observation that investment tends to accelerate when output is around...
Böhm V, Kikuchi T, Vachadze G. On the role of equity for the dynamics of capital accumulation. Discu...
A central puzzle for asset pricing theory is that stock prices are much more volatile than corporate...
Asset pricing models have only partially captured the true inflation risk of equities. The contribut...
An asset pricing model using long-run capital share growth risk has recently been found to successfu...
I show that a firm’s capital intensity affects the asset pricing implications of investment-specific...
In the first chapter of my dissertation, I characterize the relationship between dividend dynamics a...
University of Minnesota Ph.D. dissertation. May 2016. Major: Business Administration. Advisors: Jian...
We study the implications of recent advances in the asset pricing literature on investment, and vice...
This thesis explores links between aggregate investment and asset prices. Many popular theories that...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
I study the dynamics of asset prices in an economy in which investors choose whether to hold diversi...
Recent developments in the asset pricing literature show that a combination of technology and distri...
This paper advances a simple model that emphasizes the diversity of capital types, some of these typ...
This paper is motivated by the observation that investment tends to accelerate when output is around...
Böhm V, Kikuchi T, Vachadze G. On the role of equity for the dynamics of capital accumulation. Discu...
A central puzzle for asset pricing theory is that stock prices are much more volatile than corporate...
Asset pricing models have only partially captured the true inflation risk of equities. The contribut...
An asset pricing model using long-run capital share growth risk has recently been found to successfu...
I show that a firm’s capital intensity affects the asset pricing implications of investment-specific...
In the first chapter of my dissertation, I characterize the relationship between dividend dynamics a...
University of Minnesota Ph.D. dissertation. May 2016. Major: Business Administration. Advisors: Jian...
We study the implications of recent advances in the asset pricing literature on investment, and vice...
This thesis explores links between aggregate investment and asset prices. Many popular theories that...