Corporate fraud and investment distortions in efficient capital markets... Because investments that are ex post inefficient are not renegotiation proof, the optimal renegotiation-proof contract induces overstatements by managers, accompanied by overinvestment in low return states and underinvestment in high return states by rational investors....
Journal of financial economics 64 (2002) 341–372 empirical pricing kernels$This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK)....
Empirical pricing kernelsThis paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying semi-parametric pricing kernel, which is referred to as the empirical pricing kernel (EPK)....
Empirical pricing kernelsThis paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a daily semi-parametric pricing kernel....
