Market price of risk specifications for affine models: Theory and evidence
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Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that the historical payoff distribution provides a consistent estimate of the market's prior beliefs. The pr ...
We analyze the effects of heterogeneity across large shareholders, using a new blockholder-firm panel dataset in which we can track all unique blockholders among large public firms in the United States. We find statistically significant and economically im ...
