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This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...
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This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...
Persistent link: https://www.econbiz.de/10012458583
Persistent link: https://www.econbiz.de/10011499728
, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend …We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular … ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …
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