Long Run Risks and Risk Compensation in Equity Markets
نویسنده
چکیده
What drives the compensation in equity markets? This article shows that perceptions of long run growth and economic uncertainty in the economy play an important role in determining the risk in equity markets. The size of the market risk premium, the level of the risk free rate, volatility of asset prices, and differences in the risk compensation across assets are shown to be related to risks pertaining to the long run growth and uncertainty in the economy.
منابع مشابه
Discussion of “Long-Run Risks and Risk Compensation in Equity Markets”
Bansal and his co-authors have produced a series of important and provocative papers that demonstrate how low-frequency risk can provide a justification for observed risk premia. Bansal summarizes this work and helps us understand the linkages between long-run risk in consumption and long-run risk in financial securities. Since he does such a nice job of explaining the economics of the approach...
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