London, SW7 2AZ
Imperial College Business School
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Equity premium, corporate bond credit spread, predictability, macroeconomic conditions, jumps, capital structure, default
Dynamic capital structure, leverage, aggregate dynamics, cross-sectional behavior, default probability, financial constraints, macroeconomic risk, risk aversion, elasticity of intertemporal substitution
heterogeneity, general equilibrium, stationarity, equity risk premium, volatility
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9459.
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Asset Pricing, General Equilibrium
Asset pricing, derivative valuation, portfolio choice, incomplete markets
Monetary policy, interest rate rule, corporate default, capital structure, leverage, credit spreads
Excess volatility, general equilibrium, heterogeneous agents, prudence
File name: SSRN-id924405.
General equilibrium, options, volatility, risk-sharing
Intertemporal optimization and decision making
File name: SSRN-id772787.
Intertemporal optimization, decision making
international finance, stock market integration, continuous time, general equilibrium, incomplete markets
Distress, size, book-to-market, small, growth, glamor, stocks, failure risk, default risk, anomalies, cross section of stock returns, asset pricing, real options, growth options, mixed jump-diffusion process
Idiosyncratic return volatility, cross-section of stock returns, asset pricing, real options, growth options, stochastic volatility, regime switching, mixed jump-diffusion processes
Two Trees, Asset Pricing with Heterogeneous Investors, Home Bias in Portfolios, International Stock Return Correlations, Financial Integration
behavioral finance, ambiguity aversion, underdiversification, aggregate growth, investment
Portfolio choice, underdiversification, familiarity bias, growth, social welfare
G12, D51, D52, D91
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