Shaking the tree: an agency-theoretic model of asset pricing

DOI10.1007/s10436-004-0001-8zbMath1233.91120OpenAlexW4249348698MaRDI QIDQ665534

Jamsheed Shorish, Stephan E. Spear

Publication date: 5 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-004-0001-8

zbMATH Keywords

asset pricingconditional heteroskedasticityagency theoryintra-firm dynamicslong memory persistence

Mathematics Subject Classification ID

Related Items (2)

The equity premium: a deeper puzzle ⋮ ASSET RETURNS UNDER PERIODIC REVELATIONS OF EARNINGS MANAGEMENT

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Long memory relationships and the aggregation of dynamic models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The First-Order Approach to Principal-Agent Problems
• Justifying the First-Order Approach to Principal-Agent Problems
• Fractional differencing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asset Prices in an Exchange Economy
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Portfolio Analysis in a Stable Paretian Market
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: Shaking the tree: an agency-theoretic model of asset pricing