, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has … long remained a more or less elusive concept. Treatment of liquidity risk is still under development.This paper provides an …

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … bonds should be more centralized. In this paper, we show that a centralization of corporate bond markets always leads to an … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …