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Persistent link: https://www.econbiz.de/10014289785
This paper shows that the consumption‐based capital asset pricing model (C-CAPM) with low‐probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change...
Persistent link: https://www.econbiz.de/10012807749