This paper presents a dynamic model of the firm with risk-free debt contracts, investment irreversibility, and debt restructuring costs. The model fits several stylized facts of corporate finance and asset pricing: First, book leverage is constant across different book-to-market portfolios,...

This paper presents a new method for identifying triangular systems of time-series data. Identification is the product of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself both by allowing for a time-varying covariance and by...

Traditional methods of testing the Capital Asset Pricing Model (CAPM) do so at the mean of the conditional distribution. Instead, we test whether the conditional CAPM holds at other points of the distribution by utilizing the technique of quantile regression (Koenker and Bassett 1978, Buchinsky...