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Innovation, patents, growth, reallocation
Irrational Traders, Price Impact, Price Influence, Survival, Irrationality, Long Run Prices
Asset pricing, dynamic programming, simulation, American option, optimal stopping, duality
Financial Markets, Heterogeneous Beliefs, Price Impact, Survival, General Equilibrium
Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3306.
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General equilibrium, the cross-section of returns, beta, size, book-to-market ratio, firm heterogeneity, business
File name: DP3482.
Production based asset pricing, beta, size and book-to-market factors, CAPM, business cycle properties of stock returns
Asset Pricing, Stock Returns, Book-to-market, Size, Equilibrium, Cross-section, Production, Investment, Business Cycle, Aggregation, Heterogeneity
SEO, Market Timing, Price Impact, Trading Pressure, Mutual Fund
Cash flow, Durable goods, Factor-mimicking portfolio, Input-output accounts, Stock returns
Portfolio Choice, Duality, Dynamic Programming, Constraints, Monte Carlo, Simulation
Anomalies, Factor Models, Data-mining, Firm Characteristic
Cross-equation restriction; Information theory; Limited information likelihood; Model fragility and complexity; Robustness; Disaster risk; Long-run risk
Asset pricing, derivative valuation, portfolio choice, incomplete markets
stock returns, investment, firm characteristics, predictability, value premium
Futures, investment contraints, production economy, SMM
Asset Pricing, Equity Premium, Value Premium, Intergenerational Risk, Innovation, Displacement Risk
general equilibrium, asset pricing, innovation, risk sharing, technology shocks
consumption-based asset pricing, displacement risk, value premium, equity premium, incomplete markets
Return predictability, Accounting quality, Information frictions
Investment, Irreversibility, General equilibrium, Leverage effect, book-to-market
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