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Merton (1987) predicts that idiosyncratic risk can be priced. I develop a simple equilibrium model of capital markets with information costs in which the idiosy
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The Value Premium and Time-Varying Volatility
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Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and g
Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior
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Stocks, Bonds, Bills, and Inflation
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