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Long Run Risks, Equity Premium, Cross-Section of Asset Returns, Cointegration, Latent State Variables
Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns, Equity Premium, Size Premium, Value Premium
Return Predictability, Consumption Growth Predictability, Dividend Growth Predictability, Regime Shifts, Cross-Section of Returns
Entropy Bounds, Multiplicative Decomposition of Pricing Kernel
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Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference
macroeconomic news, learning models, CPI, earnings per hour, asset pricing
Rational Expectations, Behavioral Biases, Pricing Kernel, Conditioning Set, Relative Entropy Minimization
household consumption risk, incomplete consumption insurance, idiosyncratic income shocks, asset pricing, equity premium puzzle, risk free rate puzzle, excess volatility puzzle
asset pricing, beliefs, preferences, heterogeneity, business cycle, rational expectations, behavioral finance, smoothed empirical likelihood