Research

Working Papers:

Figure 7 in text: Equal-weighted cumulative expected returns for monitored and non-monitored firms. The proxy for expected returns is excess returns residualized with respect to the market model. c is the starting time for a monitoring event, and the event window is [-1,24] months. Monitoring causes lower expected returns.

Somebody Stop Me: The Asset Pricing Implications of Principal-Agent Conflicts

Presented at: Macro Finance Society Workshop (poster session; 2024), Corporate Finance Days (2024), Nordic Finance Network Ph.D. Workshop (2024), BI Norwegian Business School (2024, 2022), European Finance Association Annual Meeting (poster session; 2023), Boston College (2023), Boston University (2023).

I show that, in a DSGE setting with heterogeneous shareholders, expected returns and their volatility decrease as monitoring increases. Monitoring arises because inside shareholders have an incentive to extract private benefits from firm output, whereas outside shareholders have the incentive to limit this extraction. Monitoring varies positively with the share of outside shareholder ownership, such that monitoring represents a source of cross-sectional and time-series variation in equilibrium asset pricing moments. I present empirical evidence supporting these theoretical results.

Page updated

Google Sites

Report abuse