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Equity Return Correlations, Heterogeneous Risk Aversion, Volatility of Turnover, Cyclical Dynamics of Stock Price Moments
equity return correlations, heterogeneous risk aversion, volatility of turnover, cyclical dynamics of stock price moments
Inflation disagreement, real and nominal yields, yield volatilities, cross-sectional consumption growth volatility, speculative trade
inflation disagreement, relative entropy, real and nominal yields, yield volatilities, break-even inflation, inflation risk premium, cross-sectional consumption growth volatility, trading on inflation
Nonlinear Term Structure Models, Expected Excess Returns, Stochastic Volatility, Unspanned Risk Premia (URP), Unspanned Stochastic Volatility (USV)
Learning from Experience Based Bias, Trend Chasing, Survey Based versus Objective Risk Premiums
Asset Pricing Moments, Real Exchange Rates, Multi-Good Economies, Deep Habits
Multi-good economies, Financial market incompleteness, Financial market completeness
Currency risk premium, habit formation, net foreign assets, wealth transfers
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currency risk premium, Habit formation, Net Foreign Assets, wealth transfers
Disagreement, ETF, Lucas Orchard, Volatility and Correlation Risk
Disagreement correlation puzzle, correlation puzzle, demand shocks, demand disagreement, heterogeneous beliefs and time preferences, asset pricing puzzles, trading volume.
Relative Prices, Asset Prices, Inflation, CPI, Dispersion
Heterogeneous Risk Aversion, Overlapping Generations, Consumption Share Weighted Variance of the Risk-Tolerance, Return Predictability
market view, consensus view, statistical view, stock market return surveys, heterogenous agents models, disagreement, survey puzzles
Short-Sales Constraint, Learning from Experience, Reduced Attention to Signal, Endogenous Non-participation
Diverse beliefs, Disagreement, Optimism, Entrepreneurship, Externality, Endogenous Growth, Innovations, Tax distortions, and Venture capital.
Speculation, heterogeneous beliefs, mispricing, investments, welfare
crisis dynamics, recessions, business cycles, asset pricing, output growth, new priced risk
Market Selection, Model Selection, Estimation, Heterogeneous Beliefs
