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This paper develops and tests an asset pricing model that allows for the presence of a capital gain lock-in effect. The principal empirical implication of this model is that stock returns exhibit reversal behavior over long horizons because of investors' accrued capital gains. Empirical tests on...
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This article develops a simple framework for valuing options subject to interest rate risk and to the risk of financial distress on the part of the option writer. The framework is used to derive analytical expressions for European calls and puts that allow for correlations among the process...
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