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Nonlinear risk

Chauvet, Marcelle; Potter, Simon M. - In: Macroeconomic dynamics 5 (2001) 4, pp. 621-646

Persistent link: https://www.econbiz.de/10001625178

Durability of output and expected stock returns

Gomes, João F.; Kogan, Leonid; Yogo, Motohiro - In: Journal of political economy 117 (2009) 5, pp. 941-986

Persistent link: https://www.econbiz.de/10003936676

Uncertainty shocks, asset supply and pricing over the business cycle

Bianchi, Francesco; Ilut, Cosmin; Schneider, Martin - 2014

Persistent link: https://www.econbiz.de/10010360032

Asset prices in a lifecycle economy

Farmer, Roger E. A. - 2014

Persistent link: https://www.econbiz.de/10010363302

Durability of output and expected stock returns

Gomes, João; Kogan, Leonid; Yogo, Motohiro - 2007

The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...

Persistent link: https://www.econbiz.de/10003449724

Durability of output and expected stock returns

Gomes, João (contributor); Kogan, Leonid (contributor); … - 2007 - Rev.

"The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...