This paper stuides the dynamics of equilibrium security prices when agents face differential dividend taxation. We construct a continuous-time equilibrium via a representative agent with stochastic weights. Agents differ in their pricing of risk inducing agent-specific consumption-based CAPMs,...

A commonly held view in the financial and economic literature if that "free cash flow is bad" in the sense that, given the opportunity, shareholders would always choose to minimize its existence. In this paper we challenge these widely-held beliefs and show that not only might shareholders...

The idea that extreme trading activity (as measured by trading volume) contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a period of one day to a week tend to appreciate (depreciate) over the...

Exchange seats are capital assets that confer access to the trading floor. On the New York Stock Exchange (NYSE), seta are bought and sold in a public auction market. As such, their prices reflect expectations about future activity and returns for the stock market as a whole. For this reason,...

We study the dynamic equilibrium behavior of security prices in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We provide a complete characteriszation of equilibrium in terms of the primitives of the economy, via construction of a...