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volatility into short- and long-run components. Our finding that prices of risk are negative and
significant for both volatility components implies that investors pay for insurance against
increases in volatility, even if those increases have little persistence. The short-run component
captures market skewness risk, which we interpret as a measure of the tightness of financial
constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor
pricing model with the market return and the two volatility components compares favorably to
benchmark models.
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