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We study implications of unpriced "granular measurement errors" -- idiosyncratic shocks to large firms that aren't well-diversified in market indices -- for asset pricing tests and propose alternative tests insensitive to them. We find stronger evidence of an intertemporal relation between the...
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In this paper, we argue that certain recent findings concerning the predictive ability of tail risk exposure, defined as the extremal dependence between asset returns and market returns, are likely spurious. We argue that these results are related to biases in the estimation procedure of the...
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The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...
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