Using asset prices I estimate the marginal value of capital in a dynamic stochastic economy under general assumptions about technology and preferences. The state-space measure of marginal q relies on the joint measurability of the value function, i.e. firm market value, and its underlying firm...

Prior research finds that when investors receive credible bad news about a firm, they revise their valuations of that firm downward. We examine a setting where investors receive bad news about a firm and revise their valuations of that firm upward. Specifically, we find that when activist...

We study a duopoly where the two price setting firms have symmetric information. The firms produce substitute goods with a state dependent common value. The information that is available to both firms about the unknown state of nature is also available to the consumers, who also have access to...

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

In this paper, we study a new channel to explain firms' price setting behavior. We propose that uncertainty about factor prices has a positive effect on markups. We show theoretically that firms with higher shares of inputs with volatile prices set higher markups. We use the Bartik shift-share...

We show that product differentiation reduces the informativeness of a firm's stock price (or its peers' stock prices) about the value of its growth opportunities. This results in less efficient exercise of a firm's growth options when managers rely on information in stock prices for their...

We study an optimal contracting problem between shareholders and managers when managers' effort choices are hidden but on which stock market prices reveal some information. When the stock market rewards winners and punishes losers within an industry, stock-based incentive generates a tournament...