Stern School of Business
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New York, NY 10012-1126
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Cambridge, MA 02138
New York University (NYU) - Department of Finance
National Bureau of Economic Research (NBER)
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shorting, lending fees, shorting premium, anomalies, cross-section, asset pricing, concentrated risk, differences of opinion, segmentation, stock returns, value, momentum, idiosyncratic volatility, net share issuance
Monetary policy, deposits, market power, bank lending, liquidity
This is a National Bureau of Economic Research Paper. NBER charges a fee of
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File name: nber.
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Return Predictability, Variance Premium, Long Run Risks, Stochastic Volatility, Jump Risks
Monetary policy, leverage, risk premia, reaching for yield
Financial Crises, Sovereign Debt, Credit Default Swaps
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8679.
credit default swaps, deleveraging, financial crises, forbearance, growth, sovereign debt
Sovereign Debt, Financial Crisis, Bailouts, Debt Overhang, Credit Default Swaps
high-water mark, hedge fund, risk, risk taking, dynamic, portfolio choice, option, restart
financial sector bailouts, sovereign credit risk
Banks, maturity transformation, deposits, interest rate risk
horizon, long run risk, duration, cointegration, value premium, zero coupon equity strips
time-varying Knightian uncertainty, jump shocks, index options, variance premium, long-run risk
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