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Investor Information, Long-Run Risk, and the Term Structure of Equity

Citations

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Cited by:

  1. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
  2. 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.
  3. Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
  4. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
  5. Chen, Shan & Li, Tao, 2025. "A unified duration-based explanation of the value, profitability, and investment anomalies," Journal of Empirical Finance, Elsevier, vol. 84(C).
  6. Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
  7. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
  8. Juan M. Londono & Nancy R. Xu, 2024. "The Global Determinants of International Equity Risk Premiums," Management Science, INFORMS, vol. 70(9), pages 6374-6394, September.
  9. Carlo A. Favero, Alessandro Melone, Sean Myers, Andrea Tamoni, 2026. "Consumption Anchors Stock Prices," BAFFI CAREFIN Working Papers 26287, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  10. Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 100(2), pages 402-423, May.
  11. 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.
  12. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  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.
  14. 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.
  15. Riccardo Colacito & Mariano M. Croce, 2011. "Risks for the Long Run and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
  16. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
  17. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc.
  18. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  19. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
  20. 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.
  21. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
  22. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
  23. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
  24. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
  25. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
  26. 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.
  27. Gourieroux, Christian & Jasiak, Joann, 2025. "Long-run risk in stationary vector autoregressive models," Journal of Econometrics, Elsevier, vol. 248(C).
  28. 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.
  29. 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.
  30. Pier Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  31. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
  32. Mohrschladt, Hannes & Nolte, Sven, 2018. "A new risk factor based on equity duration," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 126-135.
  33. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
  34. 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.
  35. 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.
  36. Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
  37. Kikuchi, Kentaro, 2026. "Equity risk premiums across horizons and their link to inflation: A quadratic Gaussian approach," The North American Journal of Economics and Finance, Elsevier, vol. 85(C).
  38. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
  39. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  40. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
  41. 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.
  42. 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.
  43. Gabaix, Xavier, 2015. "Behavioral Macroeconomics Via Sparse Dynamic Programming," CEPR Discussion Papers 11026, Centre for Economic Policy Research.
  44. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
  45. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
  46. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
  47. Alessandro Sbuelz, 2025. "Equilibrium asset pricing with short rate risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 93-125, June.
  48. 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.
  49. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
  50. Andrew Y. Chen & Francisco Palomino, 2026. "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 61, August.
  51. Olaf Stotz, 2020. "The Equity Curve and Its Relation to Future Stock Returns," JRFM, MDPI, vol. 13(2), pages 1-16, January.
  52. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
  53. Ming Zeng & Guihai Zhao, 2022. "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers 22-21, Bank of Canada.
  54. Michael Hasler & Mariana Khapko, 2023. "Correlated Cashflow Shocks, Asset Prices, and the Term Structure of Equity," Management Science, INFORMS, vol. 69(9), pages 5560-5577, September.
  55. Martijn Boons & Anthony M. Diercks & Petra Sinagl & Andrea Tamoni, 2026. "The Response of Equity Yields to a Long-Run Shock," Finance and Economics Discussion Series 2026-044, Board of Governors of the Federal Reserve System (U.S.).
  56. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
  57. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
  58. 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.
  59. 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.
  60. Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
    • Jules Vanbinsbergen & Wouter H. Hueskes & Ralph Koijen & Evert B Vrugt, 2012. "Equity Yields," Working Papers 2012-007, Becker Friedman Institute for Research In Economics.
  61. Michael Hasler & Mariana Khapko & Roberto Marfè, 2026. "Value Premium and Equity Term Structures of Value and Growth Firms," Management Science, INFORMS, vol. 72(7), pages 5916-5942, July.
  62. 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.
  63. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
  64. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
  65. Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
  66. Prat, Georges & Le Bris, David, 2024. "Term structure of equity risk premia in rough terrain: 150 years of the French stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  67. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
  68. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
  69. Cejnek, Georg & Randl, Otto, 2016. "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 181-198.
  70. 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.
  71. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  72. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
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