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Robert H. Litzenberger
Researcher at University of Pennsylvania
Publications - 64
Citations - 15332
Robert H. Litzenberger is an academic researcher from University of Pennsylvania. The author has contributed to research in topics: Capital asset pricing model & Portfolio. The author has an hindex of 32, co-authored 63 publications receiving 14750 citations. Previous affiliations of Robert H. Litzenberger include Stanford University.
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A state-preference model of optimal financial leverage
TL;DR: In this article, it was shown that the Modigliani-Miller independence thesis in a state preference framework does not depend upon the assumption that the firm will earn its debt obligation with certainty, since bankruptcy penalties would not exist in a perfect market.
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Skewness preference and the valuation of risk assets
TL;DR: In this paper, the authors extend the SharpeLintner model to incorporate the covariance of risk assets and show that the results are consistent with capital market equilibrium in the absence of borrowing.
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Prices of State-Contingent Claims Implicit in Option Prices
TL;DR: In this article, the authors derive the prices of primitive securities from call options on aggregate consumption, and derive an equilibrium valuation of assets with uncertain payoffs at many future dates by using the Black-Scholes equation.
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Prices of state-contingent claims implicit in option prices
TL;DR: In this article, the Black-Scholes equation for options on aggregate consumption has been used to derive the prices of primitive securities from the price of call options on aggregated consumption.
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The effect of personal taxes and dividends on capital asset prices
TL;DR: In this article, the authors derived an after tax version of the Capital Asset Pricing Model, which accounts for a progressive tax scheme and for wealth and income related constraints on borrowing, and showed that before-tax expected rates of return are linearly related to systematic risk and to dividend yield.