Blar i BI Open på forfatter "Schlag, Christian"
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Equilibrium Asset Pricing in Directed Networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (Journal article; Peer reviewed, 2021)Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these ... -
The Leading Premium
Croce, Mariano Massimiliano; Marchuk, Tatyana; Schlag, Christian (Journal article; Peer reviewed, 2023)In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United States. Our results show that firms in leading industries pay an average ... -
Optimists and Pessimists in (In)Complete Markets
Branger, Nicole; Konermann, Patrick; Schlag, Christian (Journal article; Peer reviewed, 2019)We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...