This paper examines if (and how) continuous-time trading renders dynamically-complete a financial market in which the underlying risk process is a Brownian motion and the securities pay dividends that are proportional to geometric Brownian motions. A sufficient condition, that the instantaneous...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with debt and equity claims. We study the effects of financial leverage on the market portfolio, and on a small firm with idiosyncratic and market risk. In an economy with both a...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

We develop a general equilibrium model of a production economy which has a risky production technology as well as a growth option to expand the scale of the productive sector of the economy. We show that when confronted with growth options, the representative consumer may sharply alter...

In a single-commodity, pure-exchange, representative-agent economy with many Lucas' trees whose dividends are geometric Brownian motions, I study the comparative statics of the prices of these assets with respect to the current Brownian realization. As is well-known, due to wealth effects, a...

In this review we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of...