This paper investigates the dynamics in the simple present discounted value asset pricing model with heterogeneous beliefs.

The paper investigates the pricing of derivative securities with calendar-time maturities.

We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle.

We study the contingent claim valuation problem in a general discrete-time framework with transaction costs. We consider the cost of the replicating strategy for attainable contingent claims and the minimal cost of the dominating strategies and we derive an expected representation formula for...

This paper examines the agency conflict between mutual fund investors and mutual fund companies. Investors would like the fund company to use its judgment to maximize risk-adjusted fund returns. A fund company, however, in its desire to maximize its value as a concern has an incentive to take...

This paper presents a simple heterogenous expectations pricing model premised on investor disagreement, risk aversion, and short sales restrictions.

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.

We compute the optimal investment-consumption policy for an agent that is able to invest upon two non-risky assets, one liquid and the other illiquid -which means that transaction costs have to be paid when he buys or sells this last asset. An equilibrium model then gives us a way to compute the...

This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an...