Short-run risk, business cycle, and the value premium
Year of publication: |
2020
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Authors: | He, Yunhao ; Leippold, Markus |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 120.2020, p. 1-36
|
Subject: | Business cycle | Long-run and short-run consumption risk | Portfolio selection | stochastic covariance | Value premium | Portfolio-Management | Konjunktur | Risikoprämie | Risk premium | Risiko | Risk | Theorie | Theory | CAPM | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility |
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