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Ravi Bansal

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Hengjie Ai & Ravi Bansal, 2018. "Risk Preferences and the Macroeconomic Announcement Premium," Econometrica, Econometric Society, vol. 86(4), pages 1383-1430, July.

    Mentioned in:

    1. Risk Preferences and the Macroeconomic Announcement Premium (ECTA 2018) in ReplicationWiki ()
  2. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (JF 2004) in ReplicationWiki ()
  3. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.

    Mentioned in:

    1. Rational Pessimism, Rational Exuberance, and Asset Pricing Models (REStud 2007) in ReplicationWiki ()

Working papers

  1. Croce, Mariano & Bansal, Ravi & Liao, Wenxi & Rosen, Samuel, 2019. "Uncertainty-Induced Reallocations and Growth," CEPR Discussion Papers 13964, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(2 (Summer), pages 329-383.
    2. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    3. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
    4. Ding Dong & Zheng Liu & Pengfei Wang, 2021. "Turbulent Business Cycles," Working Paper Series 2021-22, Federal Reserve Bank of San Francisco.
    5. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2023. "The Real Response to Uncertainty Shocks: The Risk Premium Channel," Management Science, INFORMS, vol. 69(1), pages 119-140, January.
    6. Sirine Zribi, 2022. "Effects of social influence on crowdfunding performance: implications of the covid-19 pandemic," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-8, December.
    7. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    8. Valeriu Nalban & Andra Smadu, 2020. "Financial disruptions and heightened uncertainty: a case for timely policy action," Working Papers 687, DNB.

  2. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022. "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, vol. 210(C).
    3. Belén Nieto & Gonzalo Rubio, 2022. "The Effects of the COVID-19 Crisis on Risk Factors and Option-Implied Expected Market Risk Premia: An International Perspective," JRFM, MDPI, vol. 15(1), pages 1-29, January.
    4. A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
    5. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    6. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    7. Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
    8. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
    9. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    10. Jeffrey L. Callen & Matthew R. Lyle, 2020. "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, vol. 25(1), pages 342-404, March.
    11. Patricia M. Dechow & Ryan D. Erhard & Richard G. Sloan & And Mark T. Soliman, 2021. "Implied Equity Duration: A Measure of Pandemic Shutdown Risk," Journal of Accounting Research, Wiley Blackwell, vol. 59(1), pages 243-281, March.
    12. Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
    13. Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
    14. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    15. Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
    16. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.

  3. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.

    Cited by:

    1. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    2. Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
    3. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.
    4. Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
    5. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    6. Croce, Mariano & Schlag, Christian & Marchuk, Tatyana, 2018. "The Leading Premium," CEPR Discussion Papers 12631, C.E.P.R. Discussion Papers.
    7. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
    8. Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021. "Information Inertia," Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
    9. Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.

  4. Ravi Bansal & Marcelo Ochoa & Dana Kiku, 2016. "Climate Change and Growth Risks," NBER Working Papers 23009, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    2. Dietz, Simon & Gollier, Christian & Kessler, Louise, 2015. "The climate beta," TSE Working Papers 15-608, Toulouse School of Economics (TSE).
    3. Diluiso, Francesca & Annicchiarico, Barbara & Kalkuhl, Matthias & Minx, Jan C., 2021. "Climate actions and macro-financial stability: The role of central banks," Journal of Environmental Economics and Management, Elsevier, vol. 110(C).
    4. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
    5. Charles Fries & Francois Gourio, 2018. "Weather Shocks and Climate Change," 2018 Meeting Papers 1159, Society for Economic Dynamics.
    6. Harrison Hong & Frank Weikai Li & Jiangmin Xu, 2016. "Climate Risks and Market Efficiency," NBER Working Papers 22890, National Bureau of Economic Research, Inc.
    7. David García-León, 2015. "Weather and Income: Lessons from the Main European Regions," Working Papers 2015.39, Fondazione Eni Enrico Mattei.
    8. van der Ploeg, Frederick & Rezai, Armon, 2018. "The Agnostic's Response to Climate Deniers: Price Carbon!," Ecological Economic Papers 21, WU Vienna University of Economics and Business.
    9. Lee, Sangki & Lee, Dongyoup & Hong, Chunghun & Park, Myung-Ho, 2022. "Performance of socially responsible firms during the COVID-19 crisis and trading behavior by investor type: Evidence from the Korean stock market," Finance Research Letters, Elsevier, vol. 45(C).
    10. Ekaterina O. Vostrikova & Anna P. Meshkova, 2020. "ESG Criteria in Investment: Foreign and Russian Experience," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 4, pages 117-129, August.
    11. Gollier, Christian, 2021. "The cost-efficiency carbon pricing puzzle," CEPR Discussion Papers 15919, C.E.P.R. Discussion Papers.
    12. Steven D Baker & Burton Hollifield & Emilio Osambela, 2020. "Preventing Controversial Catastrophes," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 1-60.
    13. Egemen Eren & Floortje Merten & Niek Verhoeven, 2022. "Pricing of climate risks in financial markets: a summary of the literature," BIS Papers, Bank for International Settlements, number 130.
    14. Addoum, Jawad M. & Ng, David T. & Ortiz-Bobea, Ariel, 2023. "Temperature shocks and industry earnings news," Journal of Financial Economics, Elsevier, vol. 150(1), pages 1-45.
    15. Rick Van der Ploeg & Ton S. Van den Bremer, 2018. "The Risk-Adjusted Carbon Price," OxCarre Working Papers 203, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    16. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2019. "Sustainable Investing in Equilibrium," NBER Working Papers 26549, National Bureau of Economic Research, Inc.
    17. Amir Yaron & Steffen Hitzemann, 2017. "Welfare Costs of Oil Shocks," 2017 Meeting Papers 1381, Society for Economic Dynamics.
    18. Rick Van der Ploeg & Armon Rezai, 2018. "Climate Policy and Stranded Carbon Assets: A Financial Perspective," OxCarre Working Papers 206, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    19. Johnson Kakeu, 2023. "Concerns for Long-Run Risks and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 1051-1093, April.
    20. Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2019. "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers 974, Asian Development Bank Institute.
    21. Ravi Bansal & Dana Kiku & Marcelo Ochoa, 2016. "Price of Long-Run Temperature Shifts in Capital Markets," NBER Working Papers 22529, National Bureau of Economic Research, Inc.
    22. Lööf, Hans & Martinsson, Gustav & Mohammadi, Ali, 2017. "Finance and Innovative Investment in Environmental Technology: The Case of Sweden," Working Paper Series in Economics and Institutions of Innovation 445, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    23. Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
    24. Makridis, Christos A. & Schloetzer, Jason D., 2023. "Extreme local temperatures lower expressed sentiment about U.S. economic conditions with implications for the stock returns of local firms," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    25. Marcelo Ochoa & Dana Kiku & Ravi Bansal, 2016. "What Do Capital Markets Tell Us About Climate Change?," 2016 Meeting Papers 542, Society for Economic Dynamics.
    26. Thomas Douenne, 2020. "Disaster Risks, Disaster Strikes, and Economic Growth: the Role of Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 251-272, October.
    27. Thao Nguyen & Min Bai & Greg Hou & Cameron Truong, 2022. "Drought risk and capital structure dynamics," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3397-3439, September.
    28. V. V. Chari, 2018. "The Role of Uncertainty and Risk in Climate Change Economics," Staff Report 576, Federal Reserve Bank of Minneapolis.
    29. Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
    30. Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2021. "Do banks price environmental transition risks? Evidence from a quasi-natural experiment in China," Journal of Corporate Finance, Elsevier, vol. 69(C).
    31. Huynh, Thanh D. & Nguyen, Thu Ha & Truong, Cameron, 2020. "Climate risk: The price of drought," Journal of Corporate Finance, Elsevier, vol. 65(C).
    32. Schultes, Anselm & Piontek, Franziska & Soergel, Bjoern & Rogelj, Joeri & Baumstark, Lavinia & Kriegler, Elmar & Edenhofer, Ottmar & Luderer, Gunnar, 2020. "Economic damages from on-going climate change imply deeper near-term emission cuts," MPRA Paper 103655, University Library of Munich, Germany.
    33. van der Ploeg, Frederick & ,, 2018. "Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis," CEPR Discussion Papers 12642, C.E.P.R. Discussion Papers.
    34. Viet Do & Thu Ha Nguyen & Cameron Truong & Tram Vu, 2021. "Is drought risk priced in private debt contracts?," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 724-737, June.
    35. Harrison Hong & Neng Wang & Jinqiang Yang, 2020. "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers 27066, National Bureau of Economic Research, Inc.
    36. Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.
    37. Karp, Larry & Rezai, Armon, 2017. "Asset prices and climate policy," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt6fx579fp, Department of Agricultural & Resource Economics, UC Berkeley.
    38. Ravi Jagannathan & Ashwin Ravikumar & Marco Sammon, 2017. "Environmental, Social, and Governance Criteria: Why Investors are Paying Attention," NBER Working Papers 24063, National Bureau of Economic Research, Inc.
    39. Jingbin He & Xinru Ma, 2021. "Extreme Temperatures and Firm-Level Stock Returns," IJERPH, MDPI, vol. 18(4), pages 1-22, February.
    40. Hong, Harrison & Li, Frank Weikai & Xu, Jiangmin, 2019. "Climate risks and market efficiency," Journal of Econometrics, Elsevier, vol. 208(1), pages 265-281.

  5. Ravi Bansal & Hengjie Ai, 2016. "Macro Announcement Premium and Risk Preferences," 2016 Meeting Papers 715, Society for Economic Dynamics.

    Cited by:

    1. Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
    2. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.
    3. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    4. Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.

  6. Marcelo Ochoa & Dana Kiku & Ravi Bansal, 2016. "What Do Capital Markets Tell Us About Climate Change?," 2016 Meeting Papers 542, Society for Economic Dynamics.

    Cited by:

    1. Benedict Clements & Sanjeev Gupta & João Jalles & Bernat Adrogue, 2023. "Climate Change and Government Borrowing Costs: A Triple Whammy for Emerging Market Economies," Working Papers REM 2023/0294, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

  7. Ravi Bansal & Dana Kiku & Marcelo Ochoa, 2016. "Price of Long-Run Temperature Shifts in Capital Markets," NBER Working Papers 22529, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yongyang Cai & William Brock & Anastasios Xepapadeas & Kenneth Judd, 2018. "Climate Policy under Cooperation and Competition between Regions with Spatial Heat Transport," NBER Working Papers 24473, National Bureau of Economic Research, Inc.
    2. Rick van der Ploeg & Armon Rezai, 2019. "Stranded Assets in the Transition to a Carbon-Free Economy," CESifo Working Paper Series 8025, CESifo.
    3. Mr. Serhan Cevik & Fedor Miryugin, 2022. "Rogue Waves: Climate Change and Firm Performance," IMF Working Papers 2022/102, International Monetary Fund.
    4. Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
    5. Cevik, Serhan & Jalles, João Tovar, 2022. "This changes everything: Climate shocks and sovereign bonds⁎," Energy Economics, Elsevier, vol. 107(C).
    6. Gong, Xu & Fu, Chengbo & Huang, Qiping & Lin, Meimei, 2022. "International political uncertainty and climate risk in the stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    7. Anastasios Xepapadeas, 2021. "Climate change and the financial system: a note," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(1), pages 5-13, March.
    8. Wang Gao & Jiajia Wei & Shixiong Yang, 2023. "The Asymmetric Effects of Extreme Climate Risk Perception on Coal Futures Return Dynamics: Evidence from Nonparametric Causality-In-Quantiles Tests," Sustainability, MDPI, vol. 15(10), pages 1-19, May.
    9. Charles Fries & Francois Gourio, 2018. "Weather Shocks and Climate Change," 2018 Meeting Papers 1159, Society for Economic Dynamics.
    10. Serhan Cevik & João Tovar Jalles, 2022. "An Apocalypse Foretold: Climate Shocks and Sovereign Defaults," Open Economies Review, Springer, vol. 33(1), pages 89-108, February.
    11. Rabeh Khalfaoui & Salma Mefteh-Wali & Jean-Laurent Viviani & Sami Ben Jabeur & Mohammad Zoynul Abedin & Brian Lucey, 2022. "How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?," Post-Print hal-03797937, HAL.
    12. Cevik, Serhan & Jalles, João Tovar, 2023. "For whom the bell tolls: Climate change and income inequality," Energy Policy, Elsevier, vol. 174(C).
    13. Benjamin Dennis, 2022. "Climate Change and Financial Policy: A Literature Review," Finance and Economics Discussion Series 2022-048, Board of Governors of the Federal Reserve System (U.S.).
    14. Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017. "Temperature shocks and welfare costs," SAFE Working Paper Series 177, Leibniz Institute for Financial Research SAFE.
    15. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2019. "Temperature Volatility Risk," Working Papers 2019:05, Department of Economics, University of Venice "Ca' Foscari".
    16. Addoum, Jawad M. & Ng, David T. & Ortiz-Bobea, Ariel, 2023. "Temperature shocks and industry earnings news," Journal of Financial Economics, Elsevier, vol. 150(1), pages 1-45.
    17. Hannes Boehm, 2022. "Physical climate change and the sovereign risk of emerging economies," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-41, December.
    18. Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
    19. Pinto-Gutiérrez, Cristian A., 2023. "Drought risk and the cost of debt in the mining industry," Resources Policy, Elsevier, vol. 83(C).
    20. Charles Fries & François Gourio, 2020. "Adaptation and the Cost of Rising Temperature for the U.S. economy," Working Paper Series WP-2020-08, Federal Reserve Bank of Chicago.
    21. Aguilar-Gomez, Sandra & Gutierrez, Emilio & Heres, David & Jaume, David & Tobal, Martin, 2024. "Thermal stress and financial distress: Extreme temperatures and firms’ loan defaults in Mexico," Journal of Development Economics, Elsevier, vol. 168(C).
    22. Bingler, Julia Anna & Kraus, Mathias & Leippold, Markus & Webersinke, Nicolas, 2022. "Cheap talk and cherry-picking: What ClimateBert has to say on corporate climate risk disclosures," Finance Research Letters, Elsevier, vol. 47(PB).
    23. Rick Van der Ploeg & Armon Rezai, 2018. "Climate Policy and Stranded Carbon Assets: A Financial Perspective," OxCarre Working Papers 206, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    24. Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2023. "In search of climate distress risk," International Review of Financial Analysis, Elsevier, vol. 85(C).
    25. Venturini, Alessio, 2022. "Climate change, risk factors and stock returns: A review of the literature," International Review of Financial Analysis, Elsevier, vol. 79(C).
    26. Ottmar Edenhofer & Kai Lessmann & Ibrahim Tahri, 2021. "Asset Pricing and the Carbon Beta of Externalities," CESifo Working Paper Series 9269, CESifo.
    27. Lin, Boqiang & Wu, Nan, 2023. "Climate risk disclosure and stock price crash risk: The case of China," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 21-34.
    28. Francesco Lamperti & Valentina Bosetti & Andrea Roventini & Massimo Tavoni, 2019. "The public costs of climate-induced financial instability," Post-Print hal-04096135, HAL.
    29. Donadelli, M. & Jüppner, M. & Paradiso, A. & Ghisletti, M., 2020. "Tornado activity, house prices, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    30. Serhan Cevik, João Tovar Jalles, 2023. "For Whom the Bell Tolls: Climate Change and Income Inequality," Working Papers REM 2023/0277, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    31. Mr. Serhan Cevik & João Tovar Jalles, 2023. "Eye of the Storm: The Impact of Climate Shocks on Inflation and Growth," IMF Working Papers 2023/087, International Monetary Fund.
    32. Olijslagers, Stan & van der Ploeg, Frederick & van Wijnbergen, Sweder, 2023. "On current and future carbon prices in a risky world," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    33. Edith Ginglinger, 2020. "Climate risk and finance," Post-Print halshs-02975207, HAL.
    34. Serhan Cevik & João Tovar Jalles, 2020. "This Changes Everything: Climate Shocks and Sovereign Bonds," Working Papers REM 2020/0132, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    35. Piergiorgio Alessandri & Haroon Mumtaz, 2022. "The macroeconomic cost of climate volatility," BCAM Working Papers 2202, Birkbeck Centre for Applied Macroeconomics.
    36. Donadelli, Michael & Gerotto, Luca, 2019. "Non-macro-based Google searches, uncertainty, and real economic activity," Research in International Business and Finance, Elsevier, vol. 48(C), pages 111-142.
    37. Christos Karydas & Anastasios Xepapadeas, 2019. "Climate change risks: pricing and portfolio allocation," CER-ETH Economics working paper series 19/327, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    38. Yongyang Cai & William Brock & Anastasios Xepapadeas & Kenneth Judd, 2019. "Climate Policy under Spatial Heat Transport: Cooperative and Noncooperative Regional Outcomes," Papers 1909.04009, arXiv.org.
    39. Javadi, Siamak & Masum, Abdullah-Al, 2021. "The impact of climate change on the cost of bank loans," Journal of Corporate Finance, Elsevier, vol. 69(C).
    40. Teodora Cristina Barbu & Cosmin-Octavian Cepoi & Crina Raluca Petrescu & Mariana Vuta, 2022. "The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 597-597, August.
    41. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.
    42. Feng, Zhi-Yuan & Wang, Chou-Wen & Lu, Yu-Hong, 2022. "The impact of climatic disaster on corporate investment policy," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
    43. Donato Masciandaro & Romano Vincenzo Tarsia, 2021. "Society, Politicians, Climate Change and Central Banks: An Index of Green Activism," BAFFI CAREFIN Working Papers 21167, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    44. Painter, Marcus, 2020. "An inconvenient cost: The effects of climate change on municipal bonds," Journal of Financial Economics, Elsevier, vol. 135(2), pages 468-482.
    45. Gregory, Richard P., 2021. "The pricing of global temperature shocks in the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    46. Serhan Cevik, João Tovar Jalles, 2023. "Eye of the Storm: The Impact of Climate Shocks on Inflation and Growth," Working Papers REM 2023/0276, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    47. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
    48. Yan, Yumeng & Xiong, Xiong & Li, Shuo & Lu, Lei, 2022. "Will temperature change reduce stock returns? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 81(C).
    49. Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).
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    149. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
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    156. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
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    163. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
    164. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
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    168. Cooke, Dudley & Kara, Engin, 2022. "The role of heterogeneity in price rigidities for delayed nominal exchange rate overshooting," Journal of International Money and Finance, Elsevier, vol. 120(C).
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  9. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.

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    1. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Jul 2023.
    2. Federico Gavazzoni & Ana Maria Santacreu, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
    3. Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
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    5. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    6. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," William Davidson Institute Working Papers Series wp1056, William Davidson Institute at the University of Michigan.
    7. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    8. Adrien Auclert, 2019. "Monetary Policy and the Redistribution Channel," American Economic Review, American Economic Association, vol. 109(6), pages 2333-2367, June.
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    11. Tomas Havranek & Marek Rusnak & Anna Sokolova, 2015. "Habit Formation in Consumption: A Meta-Analysis," Working Papers 2015/03, Czech National Bank.
    12. Carlo A. Favero & Fulvio Ortu & Andrea Tamoni & Haoxi Yang, 2020. "Implications of Return Predictability for Consumption Dynamics and Asset Pricing," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 527-541, July.
    13. Claude Bergeron, 2019. "Recursive preferences, long-run risks, and stock valuation," Economics Bulletin, AccessEcon, vol. 39(2), pages 996-1004.
    14. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
    15. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
    16. Traeger, Christian, 2021. "ACE - Analytic Climate Economy," CEPR Discussion Papers 15968, C.E.P.R. Discussion Papers.
    17. Julian Thimme & Clemens Völkert, 2015. "Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 418-429, July.
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    19. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    20. Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
    21. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    22. Sayar Karmakar & Marek Chudý & Wei Biao Wu, 2022. "Long‐term prediction intervals with many covariates," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 587-609, July.
    23. Ruan, Xinfeng, 2021. "Ambiguity, long-run risks, and asset prices in continuous time," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 115-126.
    24. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
    25. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    26. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    27. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
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    29. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
    30. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Leibniz Institute for Financial Research SAFE.
    31. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    32. M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
    33. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
    34. Lorenzo Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Carlo Alberto Notebooks 693 JEL Classification: C, Collegio Carlo Alberto.
    35. Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
    36. Gollier, Christian, 2018. "Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 155-171.
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    38. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
    39. Kejin Wu & Sayar Karmakar, 2023. "A model-free approach to do long-term volatility forecasting and its variants," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
    40. Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    41. Mariano Croce & Mohammad R. Jahan-Parvar & Samuel Rosen, 2022. "SONOMA: a Small Open ecoNOmy for MAcrofinance," International Finance Discussion Papers 1349, Board of Governors of the Federal Reserve System (U.S.).
    42. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2017. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 20-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 05 Jul 2020.
    43. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    44. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    45. Nikolai Roussanov & Michael Michaux & Hui Chen, 2011. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," 2011 Meeting Papers 1369, Society for Economic Dynamics.
    46. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    47. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
    48. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
    49. Sartja Duangchaiyoosook & Weerachart Kilenthong, 2021. "Long Run Risk Model and Equity Premium Puzzle in Thailand," PIER Discussion Papers 150, Puey Ungphakorn Institute for Economic Research.
    50. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    51. Kejin Wu & Sayar Karmakar, 2021. "Model-Free Time-Aggregated Predictions for Econometric Datasets," Forecasting, MDPI, vol. 3(4), pages 1-14, December.
    52. Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020. "Long-term prediction intervals with many covariates," Papers 2012.08223, arXiv.org, revised Sep 2021.
    53. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    54. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
    55. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    56. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
    57. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
    58. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
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  10. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2012. "Volatility, the Macroeconomy and Asset Prices," NBER Working Papers 18104, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lei Lin & Jing Tan & Wenzhen Liu, 2022. "Does monetary policy uncertainty command a risk premium in the Chinese stock market?," International Review of Finance, International Review of Finance Ltd., vol. 22(3), pages 433-452, September.
    2. Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
    3. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    4. Ping‐Wen Sun & Yifan Shen & Meifen Qian & Wu Yan, 2021. "Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1993-2029, April.
    5. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    6. Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
    7. Shang, Yuhuang & Liu, Lulu, 2017. "An extension of stochastic volatility model with mixed frequency information," Economics Letters, Elsevier, vol. 155(C), pages 144-148.
    8. Sunil S. Poshakwale & Pankaj Chandorkar, 2019. "The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 489-524, November.
    9. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
    10. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
    11. Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
    12. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    13. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    14. Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
    15. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    16. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
    17. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
    18. Kei Hosoya, 2017. "Accounting for Growth Disparity: Lucas's Framework Revisited," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 874-887, August.
    19. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Pricing Default Risk: The good, the bad, and the anomaly," EIF Working Paper Series 2014/23, European Investment Fund (EIF).
    20. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics 69634, London School of Economics and Political Science, LSE Library.
    21. Jaroslav Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
    22. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
    23. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
    24. Apergis, Nicholas, 2019. "The impact of fracking activities on Oklahoma's housing prices: A panel cointegration analysis," Energy Policy, Elsevier, vol. 128(C), pages 94-101.
    25. Jozef Barunik & Michael Ellington, 2020. "Persistence in Financial Connectedness and Systemic Risk," Papers 2007.07842, arXiv.org, revised Nov 2023.
    26. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
    27. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    28. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    29. Sebastian Di Tella, 2017. "Optimal Regulation of Financial Intermediaries," 2017 Meeting Papers 28, Society for Economic Dynamics.
    30. Christoffersen, Peter & Pan, Xuhui (Nick), 2018. "Oil volatility risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 5-26.
    31. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    32. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
    33. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
    34. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
    35. Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
    36. Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023. "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 369-389.
    37. Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten, 2017. "Does oil and gold price uncertainty matter for the stock market?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 270-285.
    38. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 35-48, March.
    39. Corbet, Shaen & McMullan, Caroline, 2018. "Stock market reaction to irregular supermarket chain behaviour: An investigation in the retail sectors of Ireland and the United Kingdom," Journal of Retailing and Consumer Services, Elsevier, vol. 43(C), pages 20-29.
    40. Fahim Afzal & Pan Haiying & Farman Afzal & Asif Mahmood & Amir Ikram, 2021. "Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model," SAGE Open, , vol. 11(1), pages 21582440211, March.
    41. Traeger, Christian, 2021. "ACE - Analytic Climate Economy," CEPR Discussion Papers 15968, C.E.P.R. Discussion Papers.
    42. Dohyoung Kwon, 2022. "The impacts of oil price shocks and United States economic uncertainty on global stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1595-1607, April.
    43. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    44. Gareth Lui-Evans & Shalini Mitra, 2019. "Informality and Bank Stability," Working Papers 201903, University of Liverpool, Department of Economics.
    45. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    46. Canh, Nguyen Phuc & Binh, Nguyen Thanh & Thanh, Su Dinh & Schinckus, Christophe, 2020. "Determinants of foreign direct investment inflows: The role of economic policy uncertainty," International Economics, Elsevier, vol. 161(C), pages 159-172.
    47. Lin, Tiantian & Liu, Dehong & Zhang, Lili & Lung, Peter, 2019. "The information content of realized volatility of sector indices in China’s stock market," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 625-640.
    48. Keiichi Morimoto & Shiba Suzuki, 2022. "Ambiguity in a pandemic recession, asset prices, and lockdown policy," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(5), pages 1039-1070, October.
    49. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    50. Lago-Balsalobre, Rubén & Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    51. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    52. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
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  11. Ravi Bansal & Marcelo Ochoa, 2011. "Welfare Costs of Long-Run Temperature Shifts," NBER Working Papers 17574, National Bureau of Economic Research, Inc.

    Cited by:

    1. Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
    2. Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
    3. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo, 2021. "Optimal carbon abatement in a stochastic equilibrium model with climate change," European Economic Review, Elsevier, vol. 132(C).
    4. Colacito, Riccardo & Hoffmann, Bridget & Phan, Toan, 2016. "Temperature and Growth: A Panel Analysis of the United States," IDB Publications (Working Papers) 7654, Inter-American Development Bank.
    5. Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
    6. Pindyck, Robert S., 2012. "Uncertain outcomes and climate change policy," Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 289-303.
    7. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
    8. Robert S. Pindyck, 2012. "Risk and Return in Environmental Economics," NBER Working Papers 18262, National Bureau of Economic Research, Inc.
    9. Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017. "Temperature shocks and welfare costs," SAFE Working Paper Series 177, Leibniz Institute for Financial Research SAFE.
    10. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2019. "Temperature Volatility Risk," Working Papers 2019:05, Department of Economics, University of Venice "Ca' Foscari".
    11. van der Ploeg, Frederick & Rezai, Armon, 2014. "Intergenerational inequality aversion, growth and the role of damages: Occam?s rule for the global carbon tax," CEPR Discussion Papers 10292, C.E.P.R. Discussion Papers.
    12. Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek, 2015. "The Social Cost of Carbon with Economic and Climate Risks," Papers 1504.06909, arXiv.org, revised Apr 2015.
    13. Croce, Mariano M., 2021. "Growth risks, asset prices, and welfare," Economics Letters, Elsevier, vol. 202(C).
    14. Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
    15. Michael Donadelli & Marcus Jüppner & Sergio Vergalli, 2022. "Temperature Variability and the Macroeconomy: A World Tour," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(1), pages 221-259, September.
    16. Robert S. Pindyck, 2013. "The Climate Policy Dilemma," Review of Environmental Economics and Policy, Association of Environmental and Resource Economists, vol. 7(2), pages 219-237, July.
    17. Rick Van der Ploeg & Armon Rezai, 2014. "Intergenerational inequality aversion, growth and the role of damages: Occam's rule for hte global carbon tax," OxCarre Working Papers 150, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    18. Robert S. Pindyck, 2014. "Risk and Return in the Design of Environmental Policy," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 1(3), pages 395-418.
    19. Karp, Larry & Rezai, Armon, 2017. "Asset prices and climate policy," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt6fx579fp, Department of Agricultural & Resource Economics, UC Berkeley.
    20. Hassler, J. & Krusell, P. & Smith, A.A., 2016. "Environmental Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1893-2008, Elsevier.

  12. Wilbur John Coleman II & Christian T. Lundblad & Ravi Bansal, 2011. "Endogenous Liquidity Supply," 2011 Meeting Papers 1200, Society for Economic Dynamics.

    Cited by:

    1. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    2. Graham, John R. & Leary, Mark T. & Roberts, Michael R., 2015. "A century of capital structure: The leveraging of corporate America," Journal of Financial Economics, Elsevier, vol. 118(3), pages 658-683.
    3. Rosen Valchev, 2017. "Bond Convenience Yields and Exchange Rate Dynamics," Boston College Working Papers in Economics 943, Boston College Department of Economics.
    4. John R. Graham & Mark T. Leary & Michael R. Roberts, 2013. "A Century of Capital Structure: The Leveraging of Corporate America," NBER Chapters, in: New Perspectives on Corporate Capital Structure, National Bureau of Economic Research, Inc.
    5. Hong-Yi Chen & Cheng Few Lee & Tzu Tai, 2020. "The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 35, pages 1345-1397, World Scientific Publishing Co. Pte. Ltd..

  13. Ravi Bansal & Marcelo Ochoa, 2011. "Temperature, Aggregate Risk, and Expected Returns," NBER Working Papers 17575, National Bureau of Economic Research, Inc.

    Cited by:

    1. Marco Letta & Pierluigi Montalbano & Richard S.J. Tol, 2017. "Temperature shocks, growth and poverty thresholds: evidence from rural Tanzania," Working Paper Series 2117, Department of Economics, University of Sussex Business School.
    2. Melissa Dell & Benjamin F. Jones & Benjamin A. Olken, 2014. "What Do We Learn from the Weather? The New Climate-Economy Literature," Journal of Economic Literature, American Economic Association, vol. 52(3), pages 740-798, September.
    3. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    4. Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
    5. Marco Letta & Richard S.J. Tol, 2016. "Weather, climate and total factor productivity," Working Paper Series 10216, Department of Economics, University of Sussex Business School.
    6. Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
    7. Pindyck, Robert S., 2012. "Uncertain outcomes and climate change policy," Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 289-303.
    8. Gong, Xu & Fu, Chengbo & Huang, Qiping & Lin, Meimei, 2022. "International political uncertainty and climate risk in the stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    9. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
    10. Robert S. Pindyck, 2012. "Risk and Return in Environmental Economics," NBER Working Papers 18262, National Bureau of Economic Research, Inc.
    11. Howard, Peter H. & Derek, Sylvan, 2016. "The Wisdom of the Economic Crowd: Calibrating Integrated Assessment Models Using Consensus," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235639, Agricultural and Applied Economics Association.
    12. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2019. "Temperature Volatility Risk," Working Papers 2019:05, Department of Economics, University of Venice "Ca' Foscari".
    13. van der Ploeg, Frederick & Rezai, Armon, 2014. "Intergenerational inequality aversion, growth and the role of damages: Occam?s rule for the global carbon tax," CEPR Discussion Papers 10292, C.E.P.R. Discussion Papers.
    14. Md Mazharul Islam & Majed Alharthi & Md Wahid Murad, 2021. "The effects of carbon emissions, rainfall, temperature, inflation, population, and unemployment on economic growth in Saudi Arabia: An ARDL investigation," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-21, April.
    15. Johnson Kakeu, 2023. "Concerns for Long-Run Risks and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 1051-1093, April.
    16. Ravi Bansal & Marcelo Ochoa, 2011. "Welfare Costs of Long-Run Temperature Shifts," NBER Working Papers 17574, National Bureau of Economic Research, Inc.
    17. Ravi Bansal & Dana Kiku & Marcelo Ochoa, 2016. "Price of Long-Run Temperature Shifts in Capital Markets," NBER Working Papers 22529, National Bureau of Economic Research, Inc.
    18. Letta, Marco & Montalbano, Pierluigi & Tol, Richard S.J., 2018. "Temperature shocks, short-term growth and poverty thresholds: Evidence from rural Tanzania," World Development, Elsevier, vol. 112(C), pages 13-32.
    19. Mihai Mutascu, 2014. "Influence of climate conditions on tax revenues," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(3), September.
    20. Marcelo Ochoa & Dana Kiku & Ravi Bansal, 2016. "What Do Capital Markets Tell Us About Climate Change?," 2016 Meeting Papers 542, Society for Economic Dynamics.
    21. Thomas Douenne, 2020. "Disaster Risks, Disaster Strikes, and Economic Growth: the Role of Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 251-272, October.
    22. Hjort, Ingrid, 2016. "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum 01/2016, Oslo University, Department of Economics.
    23. K. Mukherjee & B. Ouattara, 2021. "Climate and monetary policy: do temperature shocks lead to inflationary pressures?," Climatic Change, Springer, vol. 167(3), pages 1-21, August.
    24. Henry He Huang & Joseph Kerstein & Chong Wang, 2018. "The impact of climate risk on firm performance and financing choices: An international comparison," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 633-656, July.
    25. Cunpu Li & Xuetong Zhang & Jing He, 2023. "Impact of Climate Change on Inflation in 26 Selected Countries," Sustainability, MDPI, vol. 15(17), pages 1-22, August.
    26. Robert S. Pindyck, 2013. "The Climate Policy Dilemma," Review of Environmental Economics and Policy, Association of Environmental and Resource Economists, vol. 7(2), pages 219-237, July.
    27. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.
    28. Irina, NASALCIUC, 2016. "Economic Aspects Of Fossil Fuel Social Costs. Why Do We Subsidize And Mediate The Cliamte Change Process?," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 1(4), pages 133-147.
    29. Patrick Grüning & Justina Banionienė & Lina Dagilienė & Michael Donadelli & Marcus Jüppner & Renatas Kizys & Kai Lessmann, 2021. "The Quadrilemma of a Small Open Circular Economy Through a Prism of the 9R Strategies," Bank of Lithuania Working Paper Series 96, Bank of Lithuania.
    30. Insang Yu & Huicheul Jung, 2022. "Flood Risk Assessment to Enable Improved Decision-Making for Climate Change Adaptation Strategies by Central and Local Governments," Sustainability, MDPI, vol. 14(21), pages 1-24, November.
    31. Anton, Sorin Gabriel, 2021. "The impact of temperature increase on firm profitability. Empirical evidence from the European energy and gas sectors," Applied Energy, Elsevier, vol. 295(C).
    32. Zhi Da & Wei Yang & Hayong Yun, 2016. "Household Production and Asset Prices," Management Science, INFORMS, vol. 62(2), pages 387-409, February.
    33. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
    34. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2021. "Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 347-394, August.
    35. Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257, CPB Netherlands Bureau for Economic Policy Analysis.

  14. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc.

    Cited by:

    1. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    2. Gandré, Pauline, 2015. "Asset prices and information disclosure under recency-biased learning," CEPREMAP Working Papers (Docweb) 1515, CEPREMAP.
    3. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
    4. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    5. Lee, Deok-Hyeon & Min, Byoung-Kyu & Kim, Tong Suk, 2019. "Dispersion of beliefs, ambiguity, and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 43-56.
    6. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    7. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014. "The Risk Premia Embedded in Index Options," CREATES Research Papers 2014-56, Department of Economics and Business Economics, Aarhus University.
    8. Laura Veldkamp & Anna Orlik, 2016. "Understanding Uncertainty Shocks and the Role of the Black Swan," Working Papers 16-04, New York University, Leonard N. Stern School of Business, Department of Economics.
    9. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
    10. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    11. Byrne, JP & Cao, S & Korobilis, D, 2016. "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers 18194, University of Essex, Essex Business School.
    12. Seokwoo Lee & Alejandro Rivera, 2021. "Extrapolation Bias and Robust Dynamic Liquidity Management," Management Science, INFORMS, vol. 67(10), pages 6421-6442, October.
    13. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
    14. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    15. Veldkamp, Laura & Kozeniauskas, Nicholas & Orlik, Anna, 2016. "What Are Uncertainty Shocks?," CEPR Discussion Papers 11501, C.E.P.R. Discussion Papers.
    16. Tarek A Hassan & Rui C Mano, 2019. "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
    17. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    18. Farouq Abdulaziz Masoudy, 2018. "Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information," Papers 1801.06966, arXiv.org, revised Mar 2018.
    19. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
    20. Veldkamp, Laura & Orlik, Anna, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," CEPR Discussion Papers 10147, C.E.P.R. Discussion Papers.
    21. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
    22. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    23. Ian Dew-Becker & Charles G. Nathanson, 2017. "Directed Attention and Nonparametric Learning," NBER Working Papers 23917, National Bureau of Economic Research, Inc.
    24. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    25. Kozeniauskas, Nicholas & Orlik, Anna & Veldkamp, Laura, 2018. "What are uncertainty shocks?," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 1-15.
    26. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    27. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    28. Xia, Yufei & Shi, Zhengxu & Du, Xiaoying & Niu, Mengyi & Cai, Rongjiang, 2023. "Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications," Finance Research Letters, Elsevier, vol. 55(PA).
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    30. Nicholas Kozeniauskas & Anna Orlik & Laura Veldkamp, 2016. "The Common Origin of Uncertainty Shocks," NBER Working Papers 22384, National Bureau of Economic Research, Inc.
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    33. Laura Veldkamp & Anna Orlik & Nicholas Kozeniauskas, 2015. "Black Swans and the Many Shades of Uncertainty," 2015 Meeting Papers 677, Society for Economic Dynamics.
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    36. Laura Veldkamp & Anna Orlik, 2013. "Understanding Uncertainty Shocks," 2013 Meeting Papers 391, Society for Economic Dynamics.
    37. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    38. Louis RAFFESTIN, 2021. "Uncertainty as a vector of financial contagion: how does it work, and how much does it matter?," LEO Working Papers / DR LEO 2881, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    39. Laura Veldkamp, 2022. "Understanding Uncertainty Shocks and the Role of Black Swans," Finance and Economics Discussion Series 2022-083, Board of Governors of the Federal Reserve System (U.S.).
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  15. Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.

    Cited by:

    1. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2019. "Short-Run Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 1-34, September.
    2. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    3. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    4. Mueller, Philippe & Vedolin, Andrea & Zhou, Hao, 2011. "Short run bond risk premia," LSE Research Online Documents on Economics 119065, London School of Economics and Political Science, LSE Library.
    5. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    6. Youcong Chao & Xiaoqun Liu & Shijun Guo, 2017. "Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-14, August.
    7. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    8. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    9. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    10. Javadi, Siamak & Li, Weiping & Nejadmalayeri, Ali, 2023. "Contingent capital conversion under dual asset and equity jump–diffusions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    11. Poghosyan Tigran, 2012. "Determinants of the Foreign Exchange Risk Premium in the Gulf Cooperation Council Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 7(3), pages 1-26, May.
    12. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    13. Wieland, Volker & Koulovatianos, Christos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers 8514, C.E.P.R. Discussion Papers.
    14. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    15. Odusami, Babatunde O., 2021. "Volatility jumps and their determinants in REIT returns," Journal of Economics and Business, Elsevier, vol. 113(C).
    16. Du, Xiuli & Ao, Zhu & Chai, Yiwei & Ge, Shilong, 2023. "Economic policy uncertainty, investor attention and post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 87(C).
    17. George Constantinides, 2012. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers 1197, Society for Economic Dynamics.
    18. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    19. Hervé Crès & Tobias Markeprand & Mich Tvede, 2009. "Incomplete Financial Markets and Jumps in Asset Prices," Discussion Papers 09-12, University of Copenhagen. Department of Economics.
    20. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
    21. Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    22. Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).

  16. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.

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    3. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
    4. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    5. Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
    6. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    7. Kyle Jurado, 2016. "Advance Information and Distorted Beliefs in Macroeconomic and Financial Fluctuations," 2016 Meeting Papers 154, Society for Economic Dynamics.
    8. Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
    9. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
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    11. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
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  17. Thomas D. Tallarini & Amir Yaron & Ravi Bansal, 2008. "The Return to Wealth, Asset Pricing, and the Intertemporal Elasticity of Substitution," 2008 Meeting Papers 918, Society for Economic Dynamics.

    Cited by:

    1. Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
    2. Na Guo & Peter N. Smith, 2012. "Durable Consumption, Long-Run Risk and The Equity Premium," Discussion Papers 12/37, Department of Economics, University of York.
    3. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    4. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.

  18. Ravi Bansal & Robert Dittmar & Dana Kiku, 2007. "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers 13108, National Bureau of Economic Research, Inc.

    Cited by:

    1. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    2. Sunil S. Poshakwale & Pankaj Chandorkar, 2019. "The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 489-524, November.
    3. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    4. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    5. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
    6. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    7. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
    8. John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
    9. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
    10. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    11. Dario Caldara & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," PIER Working Paper Archive 09-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    12. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    13. Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers 32/12, Institute for Fiscal Studies.
    14. Jungshik Hur & Vivek Singh, 2013. "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 753-767, November.
    15. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices 10-230, Review of Economic Dynamics.
    16. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
    17. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    18. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
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    20. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    21. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
    22. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    23. Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    24. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
    25. Surya Chelikani & Frank P. D'Souza, 2014. "The Effect of Regulation Fair Disclosure on Market Integration," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 43-62.
    26. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    27. Dittmar, Robert F. & Lundblad, Christian T., 2017. "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, vol. 125(2), pages 326-343.
    28. Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012. "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers 1883, Cowles Foundation for Research in Economics, Yale University.
    29. Tatyana Marchuk & Christian Schlag & Mariano Croce, 2017. "The Leading Premium," 2017 Meeting Papers 1251, Society for Economic Dynamics.
    30. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    31. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    32. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    33. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
    34. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    35. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
    36. Zhi Da, 2009. "Cash Flow, Consumption Risk, and the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 64(2), pages 923-956, April.
    37. Pär Österholm, 2016. "The Long-run Relationship Between Stock Prices and GDP in Sweden," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(2), pages 283-297, July.
    38. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
    39. Liu, Naiping & Zhang, Lu, 2008. "Is the value spread a useful predictor of returns?," Journal of Financial Markets, Elsevier, vol. 11(3), pages 199-227, August.
    40. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    41. Giuliodori, David & Rodriguez, Alejandro, 2015. "Analysis of the stainless steel market in the EU, China and US using co-integration and VECM," Resources Policy, Elsevier, vol. 44(C), pages 12-24.
    42. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
    43. Annika Alexius & Daniel Spang, 2018. "Stock prices and GDP in the long run," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(4), pages 1-7.
    44. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    45. Stoupos, Nikolaos & Kiohos, Apostolos, 2017. "EU unification and linkages among the European currencies: new evidence from the EU and the EEA," Research in International Business and Finance, Elsevier, vol. 41(C), pages 28-36.
    46. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    47. Croce, Mariano & Ai, Hengjie & Li, Kai & Diercks, Anthony, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    48. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
    49. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
    50. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    51. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    52. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
    53. Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
    54. Ravi Bansal & Dana Kiku & Amir Yaron, 2010. "Long Run Risks, the Macroeconomy, and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 542-546, May.
    55. Alexius, Annika & Spång, Daniel, 2015. "Stocks and GDP in the long run," Research Papers in Economics 2015:5, Stockholm University, Department of Economics.
    56. Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019. "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 95-118.
    57. Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
    58. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    59. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    60. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    61. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
    62. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
    63. Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
    64. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    65. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
    66. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    67. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
    68. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.

  19. Amir Yaron & Ravi Bansal, 2007. "The Asset Pricing Macro Nexus and Return Cash-Flow Predictability," 2007 Meeting Papers 18, Society for Economic Dynamics.

    Cited by:

    1. Tetiana Davydiuk & Scott Richard & Ivan Shaliastovich & Amir Yaron, 2023. "How Risky Are U.S. Corporate Assets?," Journal of Finance, American Finance Association, vol. 78(1), pages 141-208, February.
    2. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    3. Oleg Rytchkov, 2012. "Filtering Out Expected Dividends and Expected Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-56.
    4. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    5. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
    6. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (U.S.).
    7. Taeyoung Doh & Shu Wu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
    8. Stephan Jank, 2015. "Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability," Management Science, INFORMS, vol. 61(6), pages 1362-1377, June.
    9. Long Chen & Zhi Da & Richard Priestley, 2012. "Dividend Smoothing and Predictability," Management Science, INFORMS, vol. 58(10), pages 1834-1853, October.

  20. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc.

    Cited by:

    1. Joshua Aurand & Yu-Jui Huang, 2020. "Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences," Papers 2003.01783, arXiv.org, revised Jul 2021.
    2. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    3. Andrew T. Levin & J. David López-Salido & Edward Nelson & Tack Yun, 2008. "Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy," Working Papers 2008-035, Federal Reserve Bank of St. Louis.
    4. Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009. "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers 09-02, University of Cologne, Centre for Financial Research (CFR).
    5. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
    6. Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
    7. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    8. Pascal Böni & Heinz Zimmermann, 2021. "Are stock prices driven by expected growth rather than discount rates? Evidence based on the COVID-19 crisis," Risk Management, Palgrave Macmillan, vol. 23(1), pages 1-29, June.
    9. Nathan S. Balke & Enrique Martínez García & Zheng Zeng, 2017. "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization Institute Working Papers 317, Federal Reserve Bank of Dallas.
    10. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
    11. Johnson Kakeu, 2023. "Concerns for Long-Run Risks and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 1051-1093, April.
    12. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
    13. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
    14. Thomas J. Sargent, 2007. "Commentary on \\"Long-run risks and financial markets\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 301-304.
    15. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
    16. Holger Kraft & Frank Seifried & Mogens Steffensen, 2013. "Consumption-portfolio optimization with recursive utility in incomplete markets," Finance and Stochastics, Springer, vol. 17(1), pages 161-196, January.
    17. Constantin Anghelache & Alexandru Manole & Madalina Anghel & Mugurel Popovici & Marius Popovici, 2016. "Significant aspects regarding the analysis of bankruptcy risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 81-87, September.
    18. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    19. Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
    20. Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
    21. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
    22. Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon, 2015. "Consumption risk and the cross-section of government bond returns," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 180-200.
    23. Kakeu, Johnson & Bouaddi, Mohammed, 2017. "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, vol. 64(C), pages 458-468.
    24. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
    25. John Armstrong & Cristin Buescu, 2020. "Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds," Papers 2004.01506, arXiv.org.

  21. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
    2. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    3. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    4. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    5. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
    6. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    7. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    8. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    9. Dario Caldara & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," PIER Working Paper Archive 09-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    10. Fatih Guvenen & Anthony A. Smith, 2014. "Inferring Labor Income Risk and Partial Insurance From Economic Choices," Econometrica, Econometric Society, vol. 82, pages 2085-2129, November.
    11. Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers 32/12, Institute for Fiscal Studies.
    12. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
    13. Jungshik Hur & Vivek Singh, 2013. "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 753-767, November.
    14. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    15. Na Guo & Peter N. Smith, 2012. "Durable Consumption, Long-Run Risk and The Equity Premium," Discussion Papers 12/37, Department of Economics, University of York.
    16. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices 10-230, Review of Economic Dynamics.
    17. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
    18. Ravi Bansal & Robert Dittmar & Dana Kiku, 2009. "Cointegration and Consumption Risks in Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1343-1375, March.
    19. Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
    20. Anthony M. Diercks, 2015. "The Equity Premium, Long-Run Risk, & Optimal Monetary Policy," Finance and Economics Discussion Series 2015-87, Board of Governors of the Federal Reserve System (U.S.).
    21. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    22. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
    23. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    24. Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
    25. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    26. Santiago Budría, 2008. "An Exploration of Asset Returns in a Production Economy with Relative Habits," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(3), pages 261-274, September.
    27. Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012. "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers 1883, Cowles Foundation for Research in Economics, Yale University.
    28. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
    29. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    30. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    31. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Leibniz Institute for Financial Research SAFE.
    32. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
    33. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
    34. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.
    35. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
    36. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    37. Ravi Bansal & Marcelo Ochoa, 2011. "Welfare Costs of Long-Run Temperature Shifts," NBER Working Papers 17574, National Bureau of Economic Research, Inc.
    38. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    39. Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013. "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, vol. 107(3), pages 537-556.
    40. Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang, 2015. "The Spirit of Capitalism and the Equity Premium," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 493-513, November.
    41. Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
    42. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
    43. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    44. Mathias S. Kruttli, 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.).
    45. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
    46. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
    47. Mariano Croce & Mohammad R. Jahan-Parvar & Samuel Rosen, 2022. "SONOMA: a Small Open ecoNOmy for MAcrofinance," International Finance Discussion Papers 1349, Board of Governors of the Federal Reserve System (U.S.).
    48. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    49. Berg Cui & Yoosoon Chang & Joon Park, 2017. "Evaluating Consumption CAPM under Heterogeneous Preferences," CAEPR Working Papers 2017-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    50. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
    51. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    52. Rolf Golombek & Arvid Raknerud, 2015. "Exit Dynamics of Start-up Firms: Does Profit Matter?," CESifo Working Paper Series 5172, CESifo.
    53. Shigeta, Yuki, 2022. "Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions," Journal of Economic Theory, Elsevier, vol. 204(C).
    54. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
    55. Lars Ljungqvist & Harald Uhlig, 2009. "Optimal Endowment Destruction under Campbell-Cochrane Habit Formation," NBER Working Papers 14772, National Bureau of Economic Research, Inc.
    56. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    57. Ravi Bansal & Dana Kiku & Amir Yaron, 2010. "Long Run Risks, the Macroeconomy, and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 542-546, May.
    58. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    59. Sing, Tien Foo & Zou, Yiheng, 2022. "Mortgage payments and equity premium puzzle," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 376-388.
    60. Anthony Diercks, 2016. "The Equity Premium, Long-Run Risk, and Optimal Monetary Policy," 2016 Meeting Papers 207, Society for Economic Dynamics.
    61. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    62. Golombek, Rolf & Raknerud, Arvid, 2018. "Exit dynamics of start-up firms: Structural estimation using indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 204-225.
    63. Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie, 2012. "The "Out of Sample" Performance of Long-run Risk Models," NBER Working Papers 17848, National Bureau of Economic Research, Inc.
    64. A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015. "Measuring Ambiguity Aversion," Finance and Economics Discussion Series 2015-105, Board of Governors of the Federal Reserve System (U.S.).
    65. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    66. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
    67. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    68. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    69. Lee, Ji Hyung & Phillips, Peter C.B., 2016. "Asset pricing with financial bubble risk," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 590-622.
    70. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.

  22. Bansal, Ravi & Dahlquist, Magnus & Harvey, Campbell R., 2004. "Dynamic Trading Strategies and Portfolio Choice," SIFR Research Report Series 31, Institute for Financial Research.

    Cited by:

    1. Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
    2. Qi Liu & Ka Po Kung, 2023. "Optimality of Buy-and-Hold Strategies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 11(1), pages 32-45.
    3. Ulf Axelson & Sandeep Baliga, 2009. "Liquidity and Manipulation of Executive Compensation Schemes," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 3907-3939, October.
    4. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
    5. Axelson, Ulf & Strömberg, Per & Weisbach, Michael S., 2007. "Why are Buyouts Levered? The Financial Structure of Private Equity Funds," SIFR Research Report Series 49, Institute for Financial Research.
    6. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
    7. Makarov, Dmitry & Schornick, Astrid V., 2010. "A note on wealth effect under CARA utility," Finance Research Letters, Elsevier, vol. 7(3), pages 170-177, September.
    8. van Hemert, Otto, 2006. "Life-Cycle Housing and Portfolio Choice with Bond Markets," SIFR Research Report Series 44, Institute for Financial Research.
    9. Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
    10. Fedyk, Yuriy & Walden, Johan, 2007. "High-Speed Natural Selection in Financial Markets with Large State Spaces," SIFR Research Report Series 52, Institute for Financial Research.
    11. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
    12. Peñaranda, Francisco, 2009. "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics 24415, London School of Economics and Political Science, LSE Library.

  23. Ravi Bansal & George Tauchen & Hao Zhou, 2003. "Regime-shifts, risk premiums in the term structure, and the business cycle," Finance and Economics Discussion Series 2003-21, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
    2. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    3. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
    4. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    5. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    6. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
    7. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
    8. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    9. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    10. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
    11. Theologos Dergiades & Panos K. Pouliasis, 2023. "Should stock returns predictability be ‘hooked on’ long‐horizon regressions?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 718-732, January.
    12. Frank Asche & Atle Oglend & Petter Osmundsen, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," CESifo Working Paper Series 5232, CESifo.
    13. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    14. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    15. Bekaert, Geert & Ang, Andrew, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
    16. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 315-335, March.
    17. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
    18. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    19. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
    20. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
    21. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    22. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
    23. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, University of Reading.
    24. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    25. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
    26. Francesco Audrino & Marcelo C. Medeiros, 2011. "Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 999-1022, September.
    27. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
    28. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
    29. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    30. Zhu, Xiaoneng, 2011. "Revisiting the expectations hypothesis: The Japanese term structure and regime shifts," Journal of Economics and Business, Elsevier, vol. 63(3), pages 237-249, May.
    31. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    32. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    33. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    34. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
    35. Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1361-1375, August.
    36. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
    37. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
    38. Frank Asche & Atle Oglend & Petter Osmundsen, 2013. "UK Natural Gas: Gas-Specific or Oil Driven Pricing?," CESifo Working Paper Series 4503, CESifo.
    39. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    40. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
    41. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
    42. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
    43. Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
    44. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2333-2345, December.
    45. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    46. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.

  24. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.

    Cited by:

    1. Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
    2. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    3. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    4. Mishra, Dev R. & O'Brien, Thomas J., 2005. "Risk and ex ante cost of equity estimates of emerging market firms," Emerging Markets Review, Elsevier, vol. 6(2), pages 107-120, June.
    5. Adam Zaremba, 2018. "Country Risk and Expected Returns Across Global Equity Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 374-398, September.
    6. Eduardo Walker H., 2006. "Currency Hedging and International Portfolio Investments: a Local Perspective," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(2), pages 41-59, August.
    7. Eduardo Walker, 2016. "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 53(1), pages 111-147, December.

  25. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.

    Cited by:

    1. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    2. Theodoros Diasakos, 2008. "Comparative Statics of Asset Prices," Carlo Alberto Notebooks 72, Collegio Carlo Alberto, revised 2011.
    3. Farago, Adam & Tédongap, Roméo, 2018. "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 69-86.
    4. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    5. Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2197-2216, September.
    6. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
    7. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
    8. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    9. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    10. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    11. John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
    12. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    13. Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
    14. Bruno Cara Giovannetti, 2012. "Asset Pricing under Quantile Utility Maximization," Working Papers, Department of Economics 2012_16, University of São Paulo (FEA-USP).
    15. Helmut Herwartz & Konstantin A. Kholodilin, 2014. "Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles," Discussion Papers of DIW Berlin 1405, DIW Berlin, German Institute for Economic Research.
    16. Gollier, Christian, 2017. "Valuation of natural capital under uncertain substitutability," TSE Working Papers 17-813, Toulouse School of Economics (TSE), revised Dec 2018.
    17. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    18. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll‐over Assumption for the Risk‐Free Asset," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 125-157, September.
    19. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
    20. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
    21. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
    22. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    23. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
    24. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," MPRA Paper 49008, University Library of Munich, Germany.
    25. Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten, 2017. "Does oil and gold price uncertainty matter for the stock market?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 270-285.
    26. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
    27. Vichet Sum, 2015. "Can firms with the best training program withstand the storm of economic policy uncertainty?," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(1), pages 206-213, February.
    28. Amir Yaron, 2007. "The Research Agenda: Amir Yaron on Lifetime Inequality and Long Run Risks and Asset Pricing," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(1), November.
    29. Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018. "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, vol. 34(C), pages 124-142.
    30. Vichet Sum, 2013. "The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States," Economic Papers, The Economic Society of Australia, vol. 32(4), pages 512-521, December.
    31. Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
    32. Dzielinski, Michal, 2012. "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, vol. 9(3), pages 167-175.
    33. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    34. Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Revisiting The Determinants Of Sovereign Bond Yield Volatility," Working Papers REM 2022/0241, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    35. Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.
    36. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
    37. Makarov, Igor & Papanikolaou, D., 2008. "Sources of systematic risk," LSE Research Online Documents on Economics 53906, London School of Economics and Political Science, LSE Library.
    38. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    39. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    40. Itamar Drechsler & Amir Yaron, 2008. "What's Vol Got to Do With It," 2008 Meeting Papers 282, Society for Economic Dynamics.
    41. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 1-15.
    42. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
    43. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
    44. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    45. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    46. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
    47. Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
    48. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
    49. Ilan Cooper & Paulo Maio, 2019. "Asset Growth, Profitability, and Investment Opportunities," Management Science, INFORMS, vol. 65(9), pages 3988-4010, September.
    50. Alex Hsu & Francisco J. Palomino & Charles Qian, 2017. "The Decline in Asset Return Predictability and Macroeconomic Volatility," Finance and Economics Discussion Series 2017-050, Board of Governors of the Federal Reserve System (U.S.).
    51. Favilukis, Jack & Lin, Xiaoji, 2012. "Long Run Productivity Risk and Aggregate Investment," Working Paper Series 2012-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    52. Seabelo T Nyawo & Roscoe Bertrum van Wyk, 2018. "The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 10(1), pages 33-41.
    53. Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
    54. Kundu, Srikanta & Paul, Amartya, 2022. "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 597-612.
    55. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
    56. Zhang, Xiang, 2020. "Leisure and long-run risks: An empirical evaluation on value premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    57. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
    58. Momin, Ebaad & Masih, Mansur, 2015. "Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS," MPRA Paper 65834, University Library of Munich, Germany.
    59. Liu, Naiping & Zhang, Lu, 2008. "Is the value spread a useful predictor of returns?," Journal of Financial Markets, Elsevier, vol. 11(3), pages 199-227, August.
    60. Hengjie Ai & Dana Kiku, 2016. "Volatility Risks and Growth Options," Management Science, INFORMS, vol. 62(3), pages 741-763, March.
    61. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
    62. Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
    63. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.
    64. Kryzanowski, Lawrence & Mohsni, Sana, 2013. "Growth of aggregate corporate earnings and cash-flows: Persistence and determinants," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 13-23.
    65. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    66. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    67. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
    68. Ranajit Kumar Bairagi, 2022. "Dynamic Impacts of Economic Policy Uncertainty on Australian Stock Market: An Intercontinental Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 64-91, March.
    69. Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers 12847, National Bureau of Economic Research, Inc.
    70. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
    71. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    72. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
    73. Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Investor Base Dynamics and Sovereign Bond Yield Volatility," Working Papers REM 2022/0234, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    74. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
    75. Muhammad Shahbaz & Ijaz Ur Rehman & Talat Afza, 2016. "Macroeconomic determinants of stock market capitalization in an emerging market: fresh evidence from cointegration with unknown structural breaks," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(1), pages 75-99, March.
    76. Khan, Muhammad Asif & Khan, Farhad & Sharif, Arshian & Suleman, Muhammad Tahir, 2023. "Dynamic linkages between Islamic equity indices, oil prices, gold prices, and news-based uncertainty: New insights from partial and multiple wavelet coherence," Resources Policy, Elsevier, vol. 80(C).
    77. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    78. Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
    79. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    80. Marcelo Ochoa, 2013. "Volatility, labor heterogeneity and asset prices," Finance and Economics Discussion Series 2013-71, Board of Governors of the Federal Reserve System (U.S.).
    81. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    82. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
    83. Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    84. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    85. Henk Berkman & Ben Jacobsen & John B. Lee, 2017. "Rare disaster risk and the expected equity risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 351-372, June.
    86. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
    87. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
    88. Xu, Yongan & Li, Ming & Yan, Wen & Bai, Jiancheng, 2022. "Predictability of the renewable energy market returns: The informational gains from the climate policy uncertainty," Resources Policy, Elsevier, vol. 79(C).
    89. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
    90. Fabian T. Lutzenberger, 2015. "Multifactor Models and their Consistency with the ICAPM: Evidence from the European Stock Market," European Financial Management, European Financial Management Association, vol. 21(5), pages 1014-1052, November.
    91. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    92. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
    93. Gadhoum, Anouar & Masih, Mansur, 2018. "Emerging market equities and US policy uncertainty: evidence from Malaysia based on ARDL," MPRA Paper 105469, University Library of Munich, Germany.
    94. Jian Yang & Zheng Li & Hong Miao, 2021. "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1959-1987, December.
    95. Thomas C. Chiang, 2019. "Market Efficiency and News Dynamics: Evidence from International Equity Markets," Economies, MDPI, vol. 7(1), pages 1-17, February.
    96. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.

  26. Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series 2001-46, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
    2. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
    3. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    5. Qiang Dai & Kenneth J. Singleton, 2001. "Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure," NBER Working Papers 8167, National Bureau of Economic Research, Inc.
    6. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
    7. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.

  27. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    2. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.
    3. Ma, Jun & Nelson, Charles R., 2010. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Economics Series 256, Institute for Advanced Studies.
    4. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
    5. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
    6. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
    7. Lukas Schmid & Joao Gomes, 2009. "Equilibrium Credit Spreads and the Macroeconomy," 2009 Meeting Papers 1109, Society for Economic Dynamics.
    8. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
    9. Zhi Da, 2009. "Cash Flow, Consumption Risk, and the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 64(2), pages 923-956, April.
    10. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
    11. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
    12. George M. Constantinides, 2002. "Rational Asset Prices," Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
    13. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
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Articles

  1. Hengjie Ai & Ravi Bansal, 2018. "Risk Preferences and the Macroeconomic Announcement Premium," Econometrica, Econometric Society, vol. 86(4), pages 1383-1430, July.

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    2. Gertsman, Gleb, 2023. "Behavioral preferences and beliefs in asset pricing," Other publications TiSEM c7196596-1bf8-47c9-a147-6, Tilburg University, School of Economics and Management.
    3. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    4. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    5. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    6. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    7. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    8. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
    9. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
    10. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
    11. Francesco Bianchi & Thilo Kind & Howard Kung, 2019. "Threats to Central Bank Independence: High-Frequency Identification with Twitter," NBER Working Papers 26308, National Bureau of Economic Research, Inc.
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    14. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
    15. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
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    18. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
    19. Bommier, Antoine & Schernberg, Hélène, 2021. "Would you prefer your retirement income to depend on your life expectancy?," Journal of Economic Theory, Elsevier, vol. 191(C).
    20. Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
    21. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    22. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    23. Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
    24. Liu, Hong & Tang, Xiaoxiao & Zhou, Guofu, 2022. "Recovering the FOMC risk premium," Journal of Financial Economics, Elsevier, vol. 145(1), pages 45-68.
    25. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    26. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
    27. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    28. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    29. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
    30. Bekjarovski, Filip, 2019. "Active investing," Other publications TiSEM 7636da9d-f63e-451a-ba78-d, Tilburg University, School of Economics and Management.
    31. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
    32. Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021. "Information Inertia," Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
    33. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs," SocArXiv ud7yw, Center for Open Science.
    34. Shilin Li & Jinqiang Yang & Siqi Zhao, 2022. "Robust leverage dynamics without commitment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 643-679, September.
    35. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
    36. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
    37. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    38. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    39. Rui Guo & Dun Jia & Xi Sun, 2023. "Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China," Review of Finance, European Finance Association, vol. 27(3), pages 1077-1118.
    40. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    41. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
    42. Croce, Mariano M. & Marchuk, Tatyana & Schlag, Christian, 2022. "The leading premium," SAFE Working Paper Series 371, Leibniz Institute for Financial Research SAFE.
    43. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
    44. Choi, Kyoung Jin & Jeon, Junkee & Koo, Hyeng Keun, 2022. "Intertemporal preference with loss aversion: Consumption and risk-attitude," Journal of Economic Theory, Elsevier, vol. 200(C).

  2. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016. "Risks for the long run: Estimation with time aggregation," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
    See citations under working paper version above.
  3. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
    See citations under working paper version above.
  4. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.
    See citations under working paper version above.
  5. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2012. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," Critical Finance Review, now publishers, vol. 1(1), pages 183-221, January.
    See citations under working paper version above.
  6. Ravi Bansal & Ivan Shaliastovich, 2011. "Learning and Asset-price Jumps," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
    See citations under working paper version above.
  7. Bansal, Ravi & Kiku, Dana, 2011. "Cointegration and Long-Run Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 161-173.

    Cited by:

    1. Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
    2. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
    3. Claude Bergeron, 2019. "Recursive preferences, long-run risks, and stock valuation," Economics Bulletin, AccessEcon, vol. 39(2), pages 996-1004.
    4. Martin, Feldkircher & Thomas, Gruber & Florian, Huber, 2019. "International effects of a compression of euro area yield curves," Working Papers in Economics 2019-1, University of Salzburg.
    5. Almeida, Caio & Brandao, Diego, 2019. "Measuring Long Run Risks for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 39(1), July.
    6. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
    7. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    8. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
    9. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.

  8. Ravi Bansal & Dana Kiku & Amir Yaron, 2010. "Long Run Risks, the Macroeconomy, and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 542-546, May.

    Cited by:

    1. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    2. Bas Aarle & Cindy Moons, 2017. "Sentiment and Uncertainty Fluctuations and Their Effects on the Euro Area Business Cycle," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 225-251, November.
    3. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Leibniz Institute for Financial Research SAFE, revised 2016.
    4. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
    5. Luisito BERTINELLI & Olivier CARDI & Romain RESTOUT, 2021. "Labor Market Effects Of Technology Shocks Biased Toward The Traded Sector," Working Papers of BETA 2021-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    6. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    7. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
    8. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    9. Agliardi, Elettra & Agliardi, Rossella, 2021. "Pricing climate-related risks in the bond market," Journal of Financial Stability, Elsevier, vol. 54(C).
    10. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
    11. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    12. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    13. Ravi Jagannathan & Binying Liu, 2019. "Dividend Dynamics, Learning, and Expected Stock Index Returns," Journal of Finance, American Finance Association, vol. 74(1), pages 401-448, February.
    14. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Matthew O'Brien & Andrei Shleifer, 2023. "Long Term Expectations and Aggregate Fluctuations," NBER Working Papers 31578, National Bureau of Economic Research, Inc.
    15. Steven D Baker & Burton Hollifield & Emilio Osambela, 2020. "Preventing Controversial Catastrophes," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 1-60.
    16. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    17. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
    18. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
    19. Kai Li & Fang Yang & Hengjie Ai, 2015. "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers 429, Society for Economic Dynamics.
    20. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
    21. Amir Yaron & Steffen Hitzemann, 2017. "Welfare Costs of Oil Shocks," 2017 Meeting Papers 1381, Society for Economic Dynamics.
    22. Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group.
    23. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
    24. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020. "Belief Overreaction and Stock Market Puzzles," NBER Working Papers 27283, National Bureau of Economic Research, Inc.
    25. Traeger, Christian P., 2012. "Why uncertainty matters - discounting under intertemporal risk aversion and ambiguity," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2w614303, Department of Agricultural & Resource Economics, UC Berkeley.
    26. Ravi Bansal & Dana Kiku & Marcelo Ochoa, 2016. "Price of Long-Run Temperature Shifts in Capital Markets," NBER Working Papers 22529, National Bureau of Economic Research, Inc.
    27. Stefan Avdjiev, 2011. "News driven business cycles and data on asset prices in estimated DSGE models," BIS Working Papers 358, Bank for International Settlements.
    28. Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
    29. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "The effect of interconnectivity on stock returns during the Global Financial Crisis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    30. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
    31. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
    32. Andreasen, Martin M. & Jørgensen, Kasper, 2020. "The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 95-117.
    33. Jensen, Svenn & Traeger, Christian P., 2014. "Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings," European Economic Review, Elsevier, vol. 69(C), pages 104-125.
    34. Traeger, Christian P., 2011. "Sustainability, limited substitutability, and non-constant social discount rates," Journal of Environmental Economics and Management, Elsevier, vol. 62(2), pages 215-228, September.
    35. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
    36. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    37. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    38. Crost, Benjamin & Traeger, Christian P., 2013. "Optimal climate policy: Uncertainty versus Monte Carlo," Economics Letters, Elsevier, vol. 120(3), pages 552-558.
    39. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
    40. Carè, R. & Weber, O., 2023. "How much finance is in climate finance? A bibliometric review, critiques, and future research directions," Research in International Business and Finance, Elsevier, vol. 64(C).
    41. Nuno Clara, 2018. "Demand Elasticities, Nominal Rigidities and Asset Prices," 2018 Meeting Papers 790, Society for Economic Dynamics.
    42. Schneider, Maik T. & Traeger, Christian P. & Winkler, Ralph, 2012. "Trading off generations: Equity, discounting, and climate change," European Economic Review, Elsevier, vol. 56(8), pages 1621-1644.
    43. Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.

  9. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
    See citations under working paper version above.
  10. Ravi Bansal & Robert Dittmar & Dana Kiku, 2009. "Cointegration and Consumption Risks in Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1343-1375, March.
    See citations under working paper version above.
  11. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
    See citations under working paper version above.
  12. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    See citations under working paper version above.
  13. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
    See citations under working paper version above.
  14. Ravi Bansal & Robert F. Dittmar & Christian T. Lundblad, 2005. "Consumption, Dividends, and the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 60(4), pages 1639-1672, August.

    Cited by:

    1. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    2. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
    3. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
    4. Stefan Nagel & Zhengyang Xu, 2019. "Asset Pricing with Fading Memory," NBER Working Papers 26255, National Bureau of Economic Research, Inc.
    5. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
    6. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    7. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
    8. Michal Pakos & Hui Chen, 2008. "Asset Pricing with Uncertainty About the Long Run," 2008 Meeting Papers 295, Society for Economic Dynamics.
    9. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    10. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
    11. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
    12. Zhanglong Wang & Kent Wang & Zheyao Pan, 2015. "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 295-317, May.
    13. Larrain, Borja, 2011. "World betas, consumption growth, and financial integration," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 999-1018, October.
    14. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
    15. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    16. Favero, Carlo A., 2005. "Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns," CEPR Discussion Papers 5110, C.E.P.R. Discussion Papers.
    17. Yuming Li, 2017. "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 289-315, August.
    18. Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
    19. Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
    20. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
    21. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    22. Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
    23. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
    24. Nieto, Belén & Rubio, Gonzalo, 2011. "The volatility of consumption-based stochastic discount factors and economic cycles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2197-2216, September.
    25. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
    26. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
    27. David Schröder & Florian Esterer, 2016. "A New Measure of Equity and Cash Flow Duration: The Duration‐Based Explanation of the Value Premium Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(5), pages 857-900, August.
    28. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
    29. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    30. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    31. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    32. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
    33. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
    34. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
    35. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    36. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
    37. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Leibniz Institute for Financial Research SAFE.
    38. Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
    39. Ding Du & Karen Craft Denning & Xiaobing Zhao, 2014. "Market states and momentum in sector exchange-traded funds," Journal of Asset Management, Palgrave Macmillan, vol. 15(4), pages 223-237, August.
    40. Tetiana Davydiuk & Scott Richard & Ivan Shaliastovich & Amir Yaron, 2023. "How Risky Are U.S. Corporate Assets?," Journal of Finance, American Finance Association, vol. 78(1), pages 141-208, February.
    41. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
    42. Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
    43. Jungshik Hur & Vivek Singh, 2013. "Does long-term disequilibrium in stock price predict future returns?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 753-767, November.
    44. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    45. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    46. Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
    47. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
    48. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    49. Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers 14-070/IV, Tinbergen Institute.
    50. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
    51. Rabeh Khalfaoui & Salma Mefteh-Wali & Jean-Laurent Viviani & Sami Ben Jabeur & Mohammad Zoynul Abedin & Brian Lucey, 2022. "How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?," Post-Print hal-03797937, HAL.
    52. Jianfeng Yu, 2012. "Online Appendix to "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"," Online Appendices 10-230, Review of Economic Dynamics.
    53. Yacine Hammami, 2014. "An empirical investigation of asset pricing models under divergent lending and borrowing rates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 263-279, August.
    54. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
    55. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
    56. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    57. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
    58. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers.
    59. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
    60. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    61. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
    62. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
    63. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
    64. Francois Gourio, 2005. "Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns," 2005 Meeting Papers 66, Society for Economic Dynamics.
    65. Ward, Colin, 2020. "Is the IT revolution over? An asset pricing view," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 283-316.
    66. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
    67. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
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  15. Ravi Bansal & Robert Dittmar & Dana Kiku, 2005. "Long-run risks and equity Returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Eraker, Bjørn, 2008. "A Bayesian view of temporary components in asset prices," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 503-517, June.

  16. Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 396-409, October.
    See citations under working paper version above.
  17. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.

    Cited by:

    1. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
    2. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    3. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    4. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    5. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
    6. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    7. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    8. Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008. "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 105-120.
    9. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 92, Money Macro and Finance Research Group.
    10. Shackman, Joshua D., 2006. "The equity premium and market integration: Evidence from international data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 155-179, April.
    11. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    12. Tien Nguyen & Dung Phuong Hoang & Thang Ngoc Doan, 2022. "On the uncertainty-global bank linkage nexus: The moderation of crises, financial regulations, and institutional quality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 623-645, October.
    13. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
    14. Mohammad Najand & John Griffith & David C Marlett, 2007. "Do life insurance stocks provide superior returns?," Journal of Asset Management, Palgrave Macmillan, vol. 8(1), pages 52-57, May.
    15. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    16. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
    17. Hsu, Po-Hsuan, 2009. "Technological innovations and aggregate risk premiums," Journal of Financial Economics, Elsevier, vol. 94(2), pages 264-279, November.
    18. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
    19. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
    20. Akdeniz, Levent & Salih, Aslıhan Altay & Ok, Süleyman Tuluğ, 2007. "Are stock prices too volatile to be justified by the dividend discount model?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 433-444.
    21. Andrew Vivian, 2007. "The UK Equity Premium: 1901–2004," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1496-1527, November.
    22. Nasseh, Alireza & Strauss, Jack, 2004. "Stock prices and the dividend discount model: did their relation break down in the 1990s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 191-207, May.
    23. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    24. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
    25. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
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    27. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org.
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