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Finance Research Seminars supported by Unigestion

The Swiss Finance Institute at EPFL and the University of Lausanne organize joint research seminars in finance. The seminars attract speakers from academic institutions around the world and cover a variety of topics of interest to both academics and research-oriented professionals.

Unigestion, an independent asset manager, is pleased to support this series of seminars. By encouraging academic research, the firm's aim is to foster innovation in the financial industry.

Information on the seminars is sent regularly via our mailing-list. Do not hesitate subscribe to our mailing-list if you would like to be informed about future seminars.

The seminars usually take place on Fridays from 10:30 am to 12:00 pm in room 126 at Extranef on the campus of the University of Lausanne. Please visit for directions


Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

Johan HOMBERT (HEC Paris)

March 3, 2017  -  10:30-12:00, room Extranef 126

We analyse a one-period general equilibrium asset pricing model with standard corporate finance frictions (cash-diversion). Incentive compatibility constraints imply that the market is endogenous incomplete. They also induce endogenous segmentation, as different types of investors hold different assets in equilibrium, and co-movements in asset prices. Equilibrium expected excess returns reflect two premia: a risk premium, which is positive if the return on the asset is large when the pricing kernel is low, but which does not reflect aggregate or individual consumption due to incentive compatibility constraints; and a divertibility premium, which is positive if the return on the asset large when incentive-compatibility constraints bind. This divertibility premium is inverse-U shaped with betas, in line with the empirical findings that the security market line is flat at the top.

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