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implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …
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debt. Further, more inflexible firms display a stronger link between yield spreads and cash flow volatility, a stronger … link between yield spreads and stock volatility (Campbell and Taksler, 2003) as well as a closer connection between changes …
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We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors' heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm's cash flow. This impacts equilibrium...
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