9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
University of California, San Diego (UCSD) - Rady School of Management
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noise, size effect, value effect
present value, discount rates, term structure of expected returns, time-varying beta, time-varying risk premium, capital budgeting
present value, term structure of discount rates, time-varying beta, time-varying risk premium, capital budgeting
Arbitrage, margin requirements, optimal portfolio
risk-return trade-off, risk premium,stochastic volatility, predictability
information, diversification, cost of capital
Specifying Base Assets, Cross-Sectional Regression, Estimating Risk Premia
expected return, implied cost of capital, discount rate
debt policy, corporate taxes, discount rates, weighted cost of capital
dynamic choice, risk aversion, stochastic volatility
Information, portfolio choice
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7188.
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cointegrated asset prices, optimal portfolio choice, risky arbitrage
momentum, optimal trading strategy
potfolio choice, under-diversification, ambiguity, correlation
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