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Consumption Strikes Back? Measuring Long‐Run Risk
Abstract
We characterize and measure a long‐term risk‐return trade‐off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade‐off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis to claims on aggregate cash flows and to cash flows from value and growth portfolios by imputing values to the long‐run dynamic responses of cash flows to macroeconomic shocks. We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
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Disaster on the horizon: The price effect of sea level rise
Bernstein, A., Gustafson, M. T., & Lewis, R. (2019) · Journal of Financial Economics · doi:10.1016/j.jfineco.2019.03.013 · Cited by 890
Market expectations in the cross-section of present values
KELLY, B., & PRUITT, S. (2013) · The Journal of Finance · doi:10.1111/jofi.12060 · Cited by 584
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
Bansal, R. (2012) · Critical Finance Review · doi:10.1561/104.00000005 · Cited by 420
Risk, Returns, and Multinational Production *
Fillat, J. L., & Garetto, S. (2015) · The Quarterly Journal of Economics · doi:10.1093/qje/qjv031 · Cited by 148
Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
Daniel, K., Litterman, R., & Wagner, G. (2016) · doi:10.3386/w22795 · Cited by 91
Metadata
- Authors
- Hansen, L. P., Heaton, J. C., & Li, N.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2008-04
- Volume
- 116
- Issue
- 2
- Pages
- 260-302
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2146387535
- Cited by
- 749
- References
- 2
- FWCI
- 91.57
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
