Learn More
Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses We study the consumption-portfolio problem with realized capital gain taxation. The distinguishing feature of our analysis is that we impose on the model an important element of the tax code that has received little attention in the academic literature: the limited use of capital(More)
We investigate the in ‡uence of various fundamental variables on a cross-section of credit default swap rates. Credit default swap rates can be seen as an alternative proxy for credit risk. Therefore our …ndings are relevant not only for the understanding of credit default swaps but for credit risk in general. The fundamental variables include ratings,(More)
A previous version of the paper was entitled "Chaining up noise traders." We are particularly grateful to Ulrike Malmendier and Mark Seasholes for their suggestions on a previous version. We also thank their comments. We are also grateful to EUROFIDAI and Albert Menkveld for providing some of the data used in this paper, and o¢ cials of the Paris Bourse for(More)
We study how differences in beliefs about expected inflation affect the nominal term structure when investors have “catching up with the Joneses” preferences. In the model, “catching up with the Joneses” preferences help to match the level and slope of yields as well as the level of yield volatilities. Disagreement about expected inflation helps to match(More)
We study asset prices and portfolio choice with overlapping generations where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of consumption growth, which, in equilibrium, leads the young to increase their investment in risky assets after positive returns or act as trend chasers and to lose(More)
We study how differences in beliefs about expected inflation impact real and nominal yield curves in a frictionless economy. Inflation disagreement induces a spillover effect to the real side of the economy with a strong impact on the real yield curve. When investors have a coefficient of relative risk aversion greater than one, real yields across all(More)
In several multi-good models in the literature we see in equilibrium that the span of the stocks drop relative to the span of the dividends, which is not a desirable feature. Therefore, in this paper, we investigate conditions for endogenous completeness and incompleteness in continuous-time financial markets driven by diffusion processes with multiple(More)
A significant fraction of the population in any country with a liquid stock market do not hold stocks, despite the international evidence on a historically high equity risk premium. Whereas the phenomenon of Limited Stock Market Participation has been used to explain several other asset pricing puzzles, only a few studies address the equilibrium foundation(More)
This paper documents that managers having large private benefits of control tend to purchase more insurance to reduce their exposure to the firm's unsystematic risk. Private benefits of control are estimated as the difference between the price of the stock and an equivalent synthetic stock (constructed with options). Our empirical analysis controls for the(More)
  • 1