Search Results - "KIKU, DANA"

Volatility, the Macroeconomy, and Asset Prices by BANSAL, RAVI, KIKU, DANA, SHALIASTOVICH, IVAN, YARON, AMIR

“…How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an…”
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Growth to value: Option exercise and the cross section of equity returns by Ai, Hengjie, Kiku, Dana

“…We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two…”
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SEC Enforcement Heuristics: An Empirical Inquiry by Cox, James D., Thomas, Randall S., Kiku, Dana

“…This Article examines the overlap between SEC securities enforcement actions and private securities fraud class actions. We begin with an overview of data…”
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Volatility Risks and Growth Options by Ai, Hengjie, Kiku, Dana

“…We propose to measure growth opportunities by firms’ exposure to idiosyncratic volatility news. Theoretically, we show that the value of a growth option…”
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A Quantitative Model of Dynamic Moral Hazard by Ai, Hengjie, Kiku, Dana, Li, Rui

“…Abstract We develop an equilibrium model with moral hazard, which arises because some productivity shocks are privately observed by firm managers only. We…”
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Risks for the long run: Estimation with time aggregation by Bansal, Ravi, Kiku, Dana, Yaron, Amir

“…The discrepancy between the decision and data-sampling intervals, known as time aggregation, confounds the identification of long-, short-run growth, and…”
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Long Run Risks, the Macroeconomy, and Asset Prices by Bansal, Ravi, Kiku, Dana, Yaron, Amir

“…We present a generalized Long Run Risk (LRR) model, which allows us to study the role of cyclical fluctuations and macroeconomic crises on asset prices and…”
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A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching by AI, HENGJIE, KIKU, DANA, LI, RUI, TONG, JINCHENG

“…ABSTRACT We develop a unified theory of dynamic contracting and assortative matching to explain firm dynamics. In our model, neither firms nor managers can…”
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Cointegration and Consumption Risks in Asset Returns by Bansal, Ravi, Dittmar, Robert, Kiku, Dana

“…We argue that the cointegrating relation between dividends and consumption, a measure of long-run consumption risks, is a key determinant of risk premia at all…”
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Cointegration and Long-Run Asset Allocation by Bansal, Ravi, Kiku, Dana

“…We show that economic restrictions of cointegration between asset cash flows and aggregate consumption have important implications for return dynamics and…”
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Does the Plaintiff Matter? An Empirical Analysis of Lead Plaintiffs in Securities Class Actions by Cox, James D., Thomas, Randall S., Kiku, Dana

“…With the enactment of the Private Securities Litigation Reform Act of 1995 (PSLRA), the U.S. Congress introduced sweeping substantive and procedural reforms…”
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Essays on the role of long run risks in asset markets by Kiku, Dana

“…This dissertation, consisting of three related essays, contributes to a recent literature that aims to understand the role of long-run consumption risks in…”
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PUBLIC AND PRIVATE ENFORCEMENT OF THE SECURITIES LAWS: HAVE THINGS CHANGED SINCE ENRON? by Cox, James D, Thomas, Randall S

“…Evidence gathered on how corporations that have been targets of SEC enforcement efforts compare in terms of their size and financial health vis-a-vis firms…”
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Essays on the role of long run risks in asset markets by Kiku, Dana

“…This dissertation, consisting of three related essays, contributes to a recent literature that aims to understand the role of long-run consumption risks in…”
Get full text