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The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment

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Cited by:

  1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  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.
  3. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  4. Ilya Dergunov & Christoph Meinerding & Christian Schlag, 2023. "Extreme Inflation and Time-Varying Expected Consumption Growth," Management Science, INFORMS, vol. 69(5), pages 2972-3002, May.
  5. 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.
  6. Havranek, Tomas & Horvath, Roman & Irsova, Zuzana & Rusnak, Marek, 2015. "Cross-country heterogeneity in intertemporal substitution," Journal of International Economics, Elsevier, vol. 96(1), pages 100-118.
  7. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
  8. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  9. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  10. 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.
  11. 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.
  12. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  13. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
  14. Robert Barro & Tao Jin, 2021. "Rare Events and Long-Run Risks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
  15. 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.
  16. Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
  17. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
  18. 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.).
  19. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
  20. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  21. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
  22. 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.
  23. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  24. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  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. George M. Constantinides & Anisha Ghosh, 2017. "Asset Pricing with Countercyclical Household Consumption Risk," Journal of Finance, American Finance Association, vol. 72(1), pages 415-460, February.
  27. Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  28. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
  29. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  30. 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.
  31. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
  32. Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.
  33. Roméo Tédongap, 2015. "Consumption Volatility and the Cross-Section of Stock Returns," Review of Finance, European Finance Association, vol. 19(1), pages 367-405.
  34. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
  35. Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
  36. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  37. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
  38. Grüning, Patrick, 2017. "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 118-148.
  39. 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.).
  40. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
  41. John List & Harald Uhlig, 2017. "Introduction," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1723-1727.
  42. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series 2011-45, Board of Governors of the Federal Reserve System (U.S.).
  43. 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.
  44. 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.
  45. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366, National Bureau of Economic Research, Inc.
  46. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  47. 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.
  48. 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.
  49. 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.
  50. Paolo Guasoni & Yu-Jui Huang, 2019. "Consumption, investment and healthcare with aging," Finance and Stochastics, Springer, vol. 23(2), pages 313-358, April.
  51. 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.
  52. Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
  53. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
  54. 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.).
  55. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  56. Taisuke Nakata & Hiroatsu Tanaka, 2020. "Equilibrium Yield Curves and the Interest Rate Lower Bound," CARF F-Series CARF-F-482, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  57. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
  58. Julian Thimme & Clemens Völkert, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 1-15, November.
  59. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas Sargent, 2019. "The Optimal Maturity of Government Debt," 2019 Meeting Papers 1011, Society for Economic Dynamics.
  60. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
  61. 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.
  62. Andrei, Daniel & Carlin, Bruce I., 2023. "Schumpeterian competition in a Lucas economy," Journal of Economic Theory, Elsevier, vol. 208(C).
  63. Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
  64. 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.
  65. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
  66. 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.
  67. Patrick Kehoe & Elena Pastorino & Pierlauro Lopez & Virgiliu Midrigan, 2018. "Asset Prices and Unemployment Fluctuations," 2018 Meeting Papers 1119, Society for Economic Dynamics.
  68. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
  69. Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
  70. 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).
  71. Max Gillman & Michal Kejak & Michal Pakoš, 2015. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
  72. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
  73. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  74. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
  75. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
  76. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
  77. Bergeron, Claude, 2013. "Dividend sensitivity to economic factors, stock valuation, and long-run risk," Finance Research Letters, Elsevier, vol. 10(4), pages 184-195.
  78. 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.
  79. Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  80. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
  81. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
  82. KhasadYahu ZarBabal & Jocelyn Evans, 2018. "Does wall street affect main street? examining potential spillovers from investor stock market sentiment to personal consumption expenditures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 293-314, April.
  83. 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.
  84. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
  85. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
  86. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2023. "Re-use of collateral: Leverage, volatility, and welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 19-46, January.
  87. 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.
  88. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  89. Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
  90. van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
  91. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
  92. Schumacher, Malte D. & Żochowski, Dawid, 2017. "The risk premium channel and long-term growth," Working Paper Series 2114, European Central Bank.
  93. 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.
  94. 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.
  95. Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015. "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers 2015-08, Department of Economics and Business Economics, Aarhus University.
  96. Alexander David & Pietro Veronesi, 2013. "What Ties Return Volatilities to Price Valuations and Fundamentals?," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 682-746.
  97. Marianne Andries, 2012. "Consumption-based Asset Pricing Loss Aversion," 2012 Meeting Papers 571, Society for Economic Dynamics.
  98. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
  99. Martin M. Andreasen, 2021. "The New Keynesian Model and Bond Yields," CREATES Research Papers 2021-01, Department of Economics and Business Economics, Aarhus University.
  100. 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.
  101. 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.
  102. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
  103. 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.).
  104. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
  105. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
  106. Guofu Zhou & Yingzi Zhu, 2015. "Macroeconomic Volatilities and Long-Run Risks of Asset Prices," Management Science, INFORMS, vol. 61(2), pages 413-430, February.
  107. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
  108. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  109. 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.
  110. Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
  111. Ilan Cooper & Paulo Maio, 2019. "Asset Growth, Profitability, and Investment Opportunities," Management Science, INFORMS, vol. 65(9), pages 3988-4010, September.
  112. Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers 25317, National Bureau of Economic Research, Inc.
  113. 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.
  114. Geert Bekaert & Eric Engstrom, 2009. "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers 15222, National Bureau of Economic Research, Inc.
  115. Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016. "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, vol. 71(6), pages 2861-2904, December.
  116. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  117. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  118. Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  119. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  120. Sebastian Di Tella, 2017. "Optimal Regulation of Financial Intermediaries," NBER Working Papers 23586, National Bureau of Economic Research, Inc.
  121. Thimme, Julian & Völkert, Clemens, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, vol. 27(C), pages 1-15.
  122. 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.
  123. 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.
  124. Sebastian Di Tella, 2017. "Optimal Regulation of Financial Intermediaries," 2017 Meeting Papers 28, Society for Economic Dynamics.
  125. 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.
  126. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
  127. 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.
  128. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
  129. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  130. Nicolas Petrosky-Nadeau & Lu Zhang & Lars-Alexander Kuehn, 2018. "Endogenous Disasters," American Economic Review, American Economic Association, vol. 108(8), pages 2212-2245, August.
  131. Johnson, Timothy C. & Lee, Jaehoon, 2014. "On the systematic volatility of unpriced earnings," Journal of Financial Economics, Elsevier, vol. 114(1), pages 84-104.
  132. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
  133. Cheng, Hang & Shi, Yongdong, 2020. "Forecasting China's stock market variance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  134. George M. Constantinides, 2017. "Asset Pricing: Models and Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 1782-1790.
  135. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  136. Xuexin WANG, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  137. 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.
  138. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  139. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  140. Taisuke Nakata & Hiroatsu Tanaka, 2016. "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series 2016-085, Board of Governors of the Federal Reserve System (U.S.).
  141. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
  142. Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
  143. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
  144. 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.
  145. Jianjian Jin, 2015. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics," Review of Finance, European Finance Association, vol. 19(3), pages 1223-1279.
  146. Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
  147. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
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