This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...

This short paper resolves an apparent contradiction between Feldman's (1989) and Riedel's (2000) equilibrium models of the term structure of interest rates under incomplete information. Feldman (1989) showed that in an incomplete information version of Cox, Ingersoll, and Ross (1985), where the...

This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists)...

We use the Brock's (1982) asset pricing model to explore the equity premium puzzle that was raised by Mehra and Prescott (1985). In this paper, we have two basic points to make. First, there are parameterizations of the Brock model that have equity premia that are (1) more consistent with...

I use both the depth of the buyers' market and trading volume to measure asset liquidity in the contract drilling industry and find that drilling rigs were less liquid than oil wells. The results indicate that managers avoid selling illiquid assets unless they face high cost alternative sources...

The existing banking literature leaves largely unanswered the question: what is the viability of bank liquidity provision if investors can dynamically re-adjust their portfolios? To address this question, I analyze the problem of optimal liquidity provision through bank deposit contracts in a...

This short paper resolves an apparent contradiction between Feldman's (1989) and Riedel's (2000) equilibrium models of the term structure of interest rates under incomplete information. Feldman (1989) showed that in an incomplete information version of Cox, Ingersoll, and Ross (1985), where the...

This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists)...

A general equilibrium production economy with heterogeneous firms and irreversible investment generates the value premium. Investment irreversibility prevents unprofitable value firms from optimally scaling down their capital stock. In contrast, profitable and fast growing - growth - firms can...

In this article we define a Recursive Competitive Equilibrium, provide an example and review the related literature. The article is an entry prepared for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan: New York).