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  • Search: subject:"asset pricing factor sensitivities"
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asset pricing factor sensitivities 1 dynamic Gordon model 1 equity premium 1 term premium 1 variance decomposition 1
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Valckx, Nico 1
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The European Journal of Finance 1
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The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables
Valckx, Nico - In: The European Journal of Finance 10 (2004) 2, pp. 149-173
This paper decomposes US and Euro area excess stock and bond return innovations into news factors using the Campbell-Schiller methodology. The results indicate that stock return volatility is mostly due to volatility of future excess return news. Inflation news plays a minor role although it is...
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