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- W2116776147 abstract "We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model implied equity Sharpe ratios, and produce a large amount of fluctuation in equity risk premia.The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2587412" @default.
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- W2116776147 date "2012-01-01" @default.
- W2116776147 modified "2023-10-03" @default.
- W2116776147 title "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory" @default.
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- W2116776147 doi "https://doi.org/10.2139/ssrn.2185659" @default.
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