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I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a … leisure and consumption. While estimating these two long run factors using a vector auto-regression (VAR), I find that growth … (big) stocks - lower average returns - obtain higher long run leisure betas but lower long run consumption betas than value …
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than permanent income; habit persistence; and non-separability in preferences over consumption and leisure. The data appear … most consistent with non-separable preferences over consumption and leisure …Consumption growth is predictable, a basic violation of the permanent-income hypothesis. This paper examines three …
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