Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy

In this paper, we consider a dynamic asset pricing model in cross-sectional economy with two firms where controlling shareholder cannot divert output one firm perfect investor protection for minority shareholders and he can fraction of the other imperfect protection. After obtaining parameters prices by solving shareholders' consumption-portfolio problems equilibrium, our features effect cross-section economy. Furthermore, some survival analysis is presented sufficient conditions on extinction are given either firm. Our numerical results line empirical evidence: (i) poorer enables to hold less shares more protection, decreases stock gross returns both firms, increases volatilities interest rates economy; (ii) compared single relative firm, shares, returns, slightly rates, while rates.