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Defining bad news: changes in return distributions that decrease risky asset demand.

Publication: Management Science
Publication Date: 01-JUL-09
Format: Online
Delivery: Immediate Online Access

Article Excerpt
What changes in the distribution of risky asset returns cause investors to reduce their demand for risky assets? Besides their importance for the theory of individual portfolio choice, understanding such changes is also helpful in understanding the equilibrium price of the market portfolio. The aggregate quantity of the market...

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