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consumption that lies somewhere between 15% and 45%, depending upon which familiar discounting system is used. Economists should … devote more energy to support a reform of public discounting systems in favor of what has been advocated by the normative …
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the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
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We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
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This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
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Using a unique dataset covering the universe of Portuguese firms and their credit situation we show that financially constrained firms are found across the entire firm size distribution, even in the top 1%. Incorporating a richer, empirically supported, productivity process into a standard...
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