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on the state of the economy. For recessions the results are clear-cut. Dividend yields vary entirely due to return … predictability. However, in expansions, the "dog that did not bark" effect is present with respect to both return and dividend growth … predictability. Dividend yields vary much less during stable periods of economic booms and returns and dividend growth seem only …
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Standard portfolio advice is that agents should hold a constant share of risky assets. All agents cannot, however, follow this advice because supply and demand of risky assets must be equal. To study equilibrium rebalancing, the paper develops an overlapping generations model in which agents...
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This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends...
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This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends...
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