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Asymmetric stock market volatility and the cyclical behavior of expected returns

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Author Info
Mele, Antonio

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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 86 (2007)
Issue (Month): 2 (November)
Pages: 446-478
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Handle: RePEc:eee:jfinec:v:86:y:2007:i:2:p:446-478

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Olivier, Jacques & Tay, Anthony, 2008. "Time-Varying Incentives in the Mutual Fund Industry," CEPR Discussion Papers 6893, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Department of Economics, University of Glasgow. [Downloadable!]
    Other versions:
  3. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-12-3.


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