The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
Abstract
We provide an empirical evaluation of the Long-Run Risks (LRR) model, and highlight important differences in the asset pricing implications of the LRR model relative to the habit model. We feature three key results: (i) consistent with the LRR model there is considerable evidence in the data for time-varying expected consumption growth and consumption volatility, (ii) the LRR model matches the key asset markets data features, (iii) in the data and in the LRR model accordingly, lagged consumption growth does not predict the future price-dividend ratio, while in the habit-model it counterfactually predicts the future price-dividend with an R 2 of over 40%. Overall, we find considerable
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
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
Epstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
Self-citationGeneralized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1984) · Econometrica · doi:10.2307/1911486 · Cited by 2,064
Output Fluctuations in the United States: What Has Changed Since the Early 1980's?
McConnell, M. M., & Perez-Quiros, G. (2000) · American Economic Review · doi:10.1257/aer.90.5.1464 · Cited by 1,867
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
Barndorff-Nielsen, O. E., & Shephard, N. (2001) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/1467-9868.00282 · Cited by 1,796
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Intertemporal Substitution in Consumption
Hall, R. (1981) · National Bureau of Economic Research · doi:10.3386/w0720 · Cited by 1,397
Kim, C.-J., & Nelson, C. R. (1999) · Review of Economics and Statistics · doi:10.1162/003465399558472 · Cited by 1,172
Metadata
- Authors
- Bansal, R.
- Venue
- Critical Finance Review
- Publisher
- Emerald
- Published
- 2012-01-01
- Volume
- 1
- Issue
- 1
- Pages
- 183-221
- ISSN
- 2164-5744 (ISSN-L)
- 2164-5760
- OpenAlex
- W2116026418
- Cited by
- 420
- References
- 38
- FWCI
- 64.21
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. https://app.cochat.ai/papers/10.1561/104.00000005
- The paper
- Bansal, R. (2012). An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. Critical Finance Review. https://doi.org/10.1561/104.00000005
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
