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The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models
Yu, Jianfeng - Society for Economic Dynamics - SED - 2009
expected returns to the cyclical fluctuations in consumption. The models by Bansal and Yaron (2004) and Panageas and Yu (2005) provide examples of such models.
Persistent link: https://www.econbiz.de/10011080450