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We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...
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In an experiment on investors' financial decisions, we find variations in information can induce distinct signals-beliefs-decisions chains within agents. Subjects observe the time series of a risky index and of an additional signal, which helps predict returnsin some randomly chosen rounds, and...
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