agents carry out mutually beneficial transactions by serving as collateral. A unique feature of our model is that the agent … who provides the loan might have a low valu- ation for the collateral asset. Nevertheless, the lender rationally chooses … to accept the collateral because she can access a secondary asset market where she can sell the asset. Following a recent …

How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the … paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage … dealers about prepayment speeds. We examine how disagreement evolves over time and study its effects on expected returns …

, raising prices. More complex collateralised contracts, like CDOs, can increase prices further. In contrast, with disagreement …

We recast the capital asset pricing model (CAPM) in the broader context of general equilibrium with incomplete markets … (GEI). In this setting we give proofs of three properties of CAPM equilibria: they are efficient, asset prices lie on a … depend on covariances, not variances. We extend CAPM to many consumption goods in such a way that all three properties hold …

We show, by means of an example, that in models where default is subject to both collateral repossession and utility … equilibrium does exist, agents never default on their promises. At the same time collateral bundles and utility functions are such … that the full repayment of debts implies that the asset price should be strictly larger than the cost of collateral …

, collateral default, production and a banking sector. We find that the welfare of the debtor is not monotonically increasing in … for both the debtor and the creditor allows for the possibility of ex post default. Collateral default enhances efficiency … CitationID="CR19">1993</CitationRef>), which use default penalties instead of collateral to induce repayment and show the …

>, <CitationRef CitationID="CR6">2010</CitationRef>), we develop a model in which both prices of the mortgage and its collateral are …