Year: 2007
Type: report
Abstract: 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.
DOI: 10.3386/w13196
Author: Ravi Bansal
Institutions: National Bureau of Economic Research, Duke University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1501283626