Guo, Hui (contributor); Savickas, Robert (contributor) - 2006
in investment opportunities, i.e., higher expected future
stock returns. By contrast, investment opportunities don …’t change with the cash-flow
shock. Thus, discount rates are a measure of investment opportunities, and the expected
excess … in
investment opportunities. Therefore, if γ is greater than 1, which appears to apply here,
the coefficient on …