We present a dynamic general equilibrium model with agency costs where: i) firms are heterogeneous in the risk of … corporate credit risk relative to the US, and when european firms value more than US firms the flexibility and information …

are positively related to credit risk, resulting in a positive correlation between cash and spreads. In contrast, spreads … are negatively related to the "exogenous'' component of cash holdings that is independent of credit risk factors …, suggesting that precautionary savings are central to understanding the effects of cash on credit risk …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …

-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking … sufficiently poor fund performances substantially curtail managerial risk-taking, provide strong incentives to de-leverage, and …

aggregate risk. We propose a theory to explain these risk exposures. We study a financial accelerator model where entrepreneurs … inefficiently high risk exposure for entrepreneurs …

value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …