The paper shows that the value effect and the idiosyncratic volatility (IVol) discount (Ang et al., 2006) arise because growth firms and high IVol firms beat the CAPM during the periods of increasing aggregate volatility, which makes their risk low. All else equal, growth options' value...

This paper formalizes a novel form of corporate insider trading based on non-insider information. In our model, insiders make trading decisions in anticipation of activist intervention. Because insiders have access to private information about firm fundamentals, they can better separate...

We investigate the interplay between asset prices, wealth inequality, and taxation in a dynamic general equilibrium economy populated by multiple agents with heterogeneous risk aversions. Tax revenues are collected from consumption taxes and are equally redistributed to all investors through...