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Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low … consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences … or relative wealth concerns …
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Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low … consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences … or relative wealth concerns …
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Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
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