Shorish, Jamsheed; Spear, Stephen E. - In: Annals of Finance 1 (2005) 1, pp. 51-72
In this paper, we develop an agency-theoretic extension of the Lucas asset pricing model and examine the resulting asset price dynamics. In the model, an agent of the firm can expand or contract the firm’s output and dividend payments in response to exogenous shocks, although expansions become...