London, WC2A 2AE
London School of Economics & Political Science (LSE)
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Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models
long run, predictability, aggregation, risk-return trade-off
return predictability, predictors-based bound, asset pricing models
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File name: DP11645.
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asset pricing models, predictors-based bound, return predictability
Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability
frequency-specific betas, C-CAPM, business-cycle consumption
error correction, long run predictability, equity premium, demographics
Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks
Wold decomposition, Abstract Wold Theorem, persistence heterogeneity, impulse response functions, forecasting
Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics
Anticipated shocks, sources of aggregate fluctuations, Bayesian estimation, DSGE model.
File name: DP7734.
demographics, dynamic dividend growth model, long run returns predictability
Value Premium, Value Spread Predictability, Stocks, Bonds, Currencies, Commodities
Risk-Return; Stock return predictability; Macroeconomic Uncertainty; Multi-scale time series models
Dynamic economies, Uncertainty, Epstein-Zin Preferences
Term structure, Uncertainty, Fiscal Policy, Monetary Policy, DSGE Estimation
Expected Returns, Long-Horizon Predictability, Multi-Scale, Bayesian Methods
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