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Cited by 4,242

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

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Bansal, Ravi, Yaron, Amir·2004·The Journal of Finance
DOI 10.1111/j.1540-6261.2004.00670.x
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Abstract

We model consumption and dividend growth rates as containing (1) a small long‐run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long‐run growth prospects raise equity prices. The model can justify the equity premium, the risk‐free rate, and the volatility of the market return, risk‐free rate, and the price–dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time‐varying.

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Citations

Cites

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Metadata

Authors
Bansal, R., & Yaron, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2004-08
Volume
59
Issue
4
Pages
1481-1509
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2004.00670.x
OpenAlex
W2113704261
Cited by
4,242
References
1
FWCI
12.70
Type
journal article
Language
en
Open access
green
Licence
onlinelibrary.wiley.com/termsAndConditions#vor (vor, 483 d)

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