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~subject:"End-of-the-year (fourth quarter) economic growth"
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End-of-the-year (fourth quarter) economic growth
Campbell-Cochrane model
3
Expected returns
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Surplus consumption ratio
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25 Fama-French portfolios
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Consumer confidence
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return predictability by surplus-consumption ratio
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Consumption-Wealth Ratio
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asset pricing
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consumption-based CAPM
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Rangvid, Jesper
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Møller, Stig V.
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Møller, Stig Vinther
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig Vinther
;
Rangvid, Jesper
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 136-154
Persistent link: https://www.econbiz.de/10011327248
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig V.
;
Rangvid, Jesper
- In:
Journal of Financial Economics
115
(
2015
)
1
,
pp. 136-154
surplus
consumption
ratio of Campbell and Cochrane (1999), a theoretically well-founded measure of time-varying risk aversion …
Persistent link: https://www.econbiz.de/10011115770
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