Vasant Naik

TL;DR: In this article, the authors use a dynamic model to predict changes in a firm's systematic risk, and its expected return, and show that the model simultaneously reproduces the time series relation between the book-to-market ratio and asset returns, the cross-sectional relation between book to market, market value and return, contrarian effects at short horizons, momentum effects at longer horizons and the inverse relation between interest rates and the market risk premium.

TL;DR: In this article, the authors use a dynamic model to predict changes in a firm's systematic risk, and its expected return, and show that the model simultaneously reproduces the time-series relation between the book-to-market ratio and asset returns, the cross-sectional relation between book to market, market value, and return, contrarian effects at short horizons, momentum effects at longer horizons and the inverse relation between interest rates and the market risk premium.

TL;DR: In this paper, the authors developed and analyzed a model of a multi-stage investment project that captures many features of R&D ventures and start-up companies, and showed that the systematic risk and the required risk premium of the venture are highest early in its life, and decrease as it approaches completion, despite the idiosyncratic nature of the technical risk.

TL;DR: In this article, a dynamic model of a multistage investment project that captures many features of research and development (R&D) ventures and start-up companies is developed.

TL;DR: In this article, the authors consider the problem of a financial institution that needs to hedge a stream of state-contingent cash flows while facing borrowing and short-sales restrictions.