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Futures prices in a production economy with investment constraints

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Durability of output and expected stock returns

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"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,...

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Oil futures prices in a production economy with investment constraints

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Market selection

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Oil futures prices in a production economy with investment constraints

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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,...