Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
نویسندگان
چکیده
منابع مشابه
Long Run Risks, the Macroeconomy, and Asset Prices
Ravi Bansal and Amir Yaron (2004) developed the Long Run Risk (LRR) model which emphasizes the role of long run risks, that is, low-frequency movements in consumption growth rates and volatility, in accounting for a wide range of asset pricing puzzles. In this article we present a generalized LRR model, which allows us to study the role of cyclical fluctuations and macroeconomic crises on asset...
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This is an on-line appendix with more details and analysis for the readers of the paper. B.1 Derivation for the A i 's, risk-free rate and market price of risk First, we rewrite the normalized aggregator f defined in Equation (5) as f (C, J) = β 1 − 1 ψ (1 − γ)J[G − 1], where G ≡ (C ((1 − γ)J) 1 1−γ) 1− 1 ψ. (B1) Then, taking partial derivatives of f (C, J) with respect to J and C , we have f J...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2004
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2004.00670.x