We study rollover risk and collateral value in a dynamic asset pricing model with endogenous debt financing by … borrowers face rollover risk if the belief dispersion between the borrowers and the pessimistic lenders widens after interim bad … news. We demonstrate the optimality of the maximum riskless short-term debt financing for optimistic borrowers even in the …

consumption, portfolio allocation, financing, investment, and business exit decisions. The optimal capital structure is determined …. More risk-averse entrepreneurs default earlier, but also choose higher leverage, even though leverage makes his equity more … risky. Non-diversified entrepreneurs demand both systematic and idiosyncratic risk premium. Cash-out option and external …

aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium … and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data … volatility of the risk-free rate …

survival, and risk management. Fourth, I discuss implications of this research program for analysis of effects of investment on …Over the past decade, a number of researchers have extended conventional models of business fixed investment to … incorporate a role for financial constraints' in determining investment. This paper reviews developments and challenges in this …

, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time … constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the …, we reveal a long-run risk return tradeoff …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …

idiosyncratic entrepreneurial risk-- a risk that introduces, not only a precautionary motive for saving, but also a wedge between …