Burlacu, Radu; Fontaine, Patrice; Jimenez-Garcès, Sonia; … - In: Journal of Financial Economics 105 (2012) 3, pp. 511-522
This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to...