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Time Variation in Cash Flows and Discount Rates

https://doi.org/10.2139/ssrn.2943478
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no DOI — not checkedwhere relative contributions of cash flow and discount rate variances are replaced with the conditional cash flow and discount rate betas, respectively. Panel (a) and Panel (b) consider lagged (log) change in producer price index as an independent variable. The dependent variables consist of cash flow beta (Panel (a)) and discount rate beta (Panel (b)). The equations in the system are estimated via SUR. Panel (c) presents the difference between the corresponding coefficient estimates from Panel (a) and Panel (b) and the significance is based on a Wald statistic testing their equality. Growth represents the lowest book-to-market ratio
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