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Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporalExpand
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The Aggregate Demand for Treasury Debt
Investors value the liquidity and safety of US Treasuries. We document this by showing that changes in Treasury supply have large effects on a variety of yield spreads. As a result, Treasury yieldsExpand
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Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures
The paper uses micro data on income and asset holdings from the Panel Study of Income Dynamics to analyze reasons for nonparticipation and for heterogeneity in portfolio choice within the set ofExpand
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Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion
Many of the empirical rejections of the consumption CAPM can be explained by the fact that the marginal rate of substitution between present and future consumption, which in the standard modelExpand
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Long-Run Stockholder Consumption Risk and Asset Returns
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-runExpand
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Testing Agency Theory with Entrepreneur Effort and Wealth
We develop a principal-agent model in an entrepreneurial setting and test the model's predictions using unique data on entrepreneurial effort and wealth in privately held firms. Accounting forExpand
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Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments
The 1964 Securities Acts Amendments extended the mandatory disclosure requirements that had applied to listed firms since 1934 to large firms traded Over-the-Counter (OTC). We find several pieces ofExpand
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Stock Returns Over the FOMC Cycle
We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6 in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the last FOMC meeting.Expand
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The impact of Treasury supply on financial sector lending and stability
We present a theory in which the key driver of short-term debt issued by the financial sector is the portfolio demand for safe and liquid assets by the nonfinancial sector. This demand drives aExpand
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A Lobbying Approach to Evaluating the Sarbanes-Oxley Act of 2002
We evaluate the net benefits of the Sarbanes-Oxley Act (SOX) for shareholders by studying the lobbying behavior of investors and corporate insiders to affect the final implemented rules under theExpand
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