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Cointegration and Long-Run Asset Allocation

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  • Bansal, Ravi
  • Kiku, Dana

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  • Bansal, Ravi & Kiku, Dana, 2011. "Cointegration and Long-Run Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 161-173.
  • Handle: RePEc:bes:jnlbes:v:29:i:1:y:2011:p:161-173
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    Cited by:

    1. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
    2. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    3. repec:eee:quaeco:v:65:y:2017:i:c:p:146-157 is not listed on IDEAS
    4. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.

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