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Keywords: Excess volatility
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (3): 409–418.
Published: 02 August 2021
... more volatile compared to what discounted future dividends would imply. Our paper closely replicates the results for the S&P 500 index. For an updated sample between 1963 and 2018, we find that the excess volatility puzzle is still strong, but it has diminished by a third relative to the sample...
Includes: Supplementary data
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (3): 329–381.
Published: 02 August 2021
... and Rebecca Wasyk 2021 Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk Licensed re-use rights only Long run risks Rare disasters Habit Bayesian estimation Particle filter Time-varying beliefs Time-varying preferences Excess volatility G10 G12 E21 E30 E44 C11 C15...
