Firm size has been empirically found to be strongly positively related to capital structure. This paper investigates whether a dynamic capital structure model can explain the cross-sectional size-leverage relationship. The driving force that we consider is the presence of fixed costs of external...

Firm size has been empirically found to be strongly positively related to capital structure. A number of intuitive explanations can be put forward to account for this stylized fact, but none have been considered theoretically. This paper starts bridging this gap by investigating whether a...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...