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Long-run risks and financial markets

Listed author(s):
  • Ravi Bansal

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross-sectional differences in asset returns. Hence, the long-run risks model provides a coherent and systematic framework for analyzing financial markets.

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File URL: https://research.stlouisfed.org/publications/review/07/07/Bansal.pdf
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Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2007)
Issue (Month): Jul ()
Pages: 283-300

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Handle: RePEc:fip:fedlrv:y:2007:i:jul:p:283-300:n:v.89no.4
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  35. repec:rus:hseeco:278548 is not listed on IDEAS
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