• Corpus ID: 238582985

Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy

@inproceedings{Yue2021AssetPW,
  title={Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy},
  author={Jia Yue and Ming-hui Wang and Nan-Jing Huang and Ben-Zhang Yang},
  year={2021}
}
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he can divert a fraction of output in the other firm with imperfect protection. After obtaining the parameters of asset prices by solving the shareholders’ consumptionportfolio problems in equilibrium, our model features the effect of investor protection and cross… 

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