Mark D. Schroder

Michigan State University - The Eli Broad Graduate School of Management

323 Eppley Center

East Lansing, MI 48824-1121

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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3,037

SSRN CITATIONS
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SSRN RANKINGS

Top 14,809

in Total Papers Citations

76

CROSSREF CITATIONS

19

Scholarly Papers (15)

1.

Short-Sale Constraints, Information Acquisition, and Asset Prices

Number of pages: 49 Posted: 28 Apr 2013 Last Revised: 15 Sep 2017
Pedram Nezafat, Mark D. Schroder and Qinghai Wang
University of Michigan at Ann Arbor - Finance, Michigan State University - The Eli Broad Graduate School of Management and University of Central Florida - College of Business Administration
Downloads 456 (114,744)
Citation 9

Abstract:

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Return volatility, Short-selling bans, Financial crises, Information production, Asset prices

2.

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

KGSM, Department of Finance Working Paper No. 226
Number of pages: 62 Posted: 19 Feb 1999
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 409 (130,343)
Citation 38

Abstract:

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3.

Monotonicity of the Stochastic Discount Factor and Expected Option Returns

Number of pages: 76 Posted: 19 Feb 2009 Last Revised: 11 Feb 2015
Ranadeb Chaudhuri and Mark D. Schroder
Oakland University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 373 (144,541)
Citation 13

Abstract:

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SDF, Risk Premium, Derivatives, Expected Returns

4.

Illiquidity and the Value of Private Information

Number of pages: 57 Posted: 17 Jan 2016 Last Revised: 15 Feb 2020
Pedram Nezafat and Mark D. Schroder
University of Michigan at Ann Arbor - Finance and Michigan State University - The Eli Broad Graduate School of Management
Downloads 310 (176,591)
Citation 1

Abstract:

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\Imperfect competition, information production, excess volatility, information complementarity, adverse selection, exchange traded funds (ETFs)

5.

Optimal Lifetime Consumption-Portfolio Strategies Under Trading Constraints and Generalized Recursive Preferences

Stochastic Processes and their Applications, Vol. 108, pp. 155-202, December 2003
Number of pages: 51 Posted: 21 Nov 2002
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 228 (240,665)
Citation 17

Abstract:

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Portfolio Choice, Recursive Utility, Optimal Consumption, Incomplete Markets, Short Sale Constraints

6.

Private Information, Securities Lending, and Asset Prices

31st Australasian Finance and Banking Conference 2018
Number of pages: 73 Posted: 30 Jul 2018 Last Revised: 14 Oct 2020
Pedram Nezafat and Mark D. Schroder
University of Michigan at Ann Arbor - Finance and Michigan State University - The Eli Broad Graduate School of Management
Downloads 219 (249,993)

Abstract:

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Short Selling, Asset Prices, Equity Lending Fees, Information Asymmetry

7.

A Simple Proof of Functional Itô's Lemma for Semimartingales with an Application

Number of pages: 14 Posted: 19 May 2013
Shlomo Levental, Mark D. Schroder and Sumit Sinha
Michigan State University, Michigan State University - The Eli Broad Graduate School of Management and Michigan State University
Downloads 193 (280,636)

Abstract:

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functional Ito

8.

An Isomorphism between Asset Pricing Models with and Without Linear Habit Formation

Northwestern University Finance Working Paper No. 247
Number of pages: 32 Posted: 14 Mar 2000
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 183 (294,394)
Citation 7

Abstract:

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9.

Optimal Debt Contracts and Product Market Competition with Exit and Entry

Number of pages: 43 Posted: 25 Mar 2008
Naveen Khanna and Mark D. Schroder
Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 167 (318,912)
Citation 4

Abstract:

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10.

Lifetime Consumption-Portfolio Choice Under Trading Constraints, Recursive Preferences and Nontradeable Income

Kellogg School of Management, Finance Working Paper No. 324
Number of pages: 40 Posted: 14 May 2003
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 161 (329,097)
Citation 8

Abstract:

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11.

The Effects of Competition and Monitoring on R&D Investment: A Dynamic Approach

Number of pages: 39 Posted: 31 Jul 2017
Mohammad Rezaei and Mark D. Schroder
University of California, Berkeley - Real Estate Group, Students and Michigan State University - The Eli Broad Graduate School of Management
Downloads 133 (383,788)

Abstract:

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real options; Brownian motion; Nash equilibrium; open loop; closed loop

12.

Linked Recursive Preferences and Optimality

Mathematical Finance, Forthcoming
Number of pages: 36 Posted: 16 May 2013
Shlomo Levental, Mark D. Schroder and Sumit Sinha
Michigan State University, Michigan State University - The Eli Broad Graduate School of Management and Michigan State University
Downloads 79 (549,679)

Abstract:

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recursive preferences, BSDE, portfolio selection, Jones, behavioral contract theory

13.

On the Negative Value of Private Information

Number of pages: 38 Posted: 01 Jan 2022
Pedram Nezafat and Mark D. Schroder
University of Michigan at Ann Arbor - Finance and Michigan State University - The Eli Broad Graduate School of Management
Downloads 74 (570,539)

Abstract:

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Imperfect competition, information acquisition, adverse selection

14.

Cityscape: Regulatory Reform and Affordable Housing

Cityscape: Regulatory Reform and Affordable Housing 2021
Number of pages: 356 Posted: 31 Aug 2021
Mark D. Schroder and Michelle Matuga
Michigan State University - The Eli Broad Graduate School of Management and U.S. Department of Housing and Urban Development
Downloads 52 (680,893)

Abstract:

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hud, cityscape, affordable housing, regulatory reform

15.

Changes of Numeraire for Pricing Futures, Forwards and Options

Posted: 25 Oct 1999
Mark D. Schroder
Michigan State University - The Eli Broad Graduate School of Management

Abstract:

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