Long-Run Risks and Financial Markets

Ravi Bansal

No 13196, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E0 E44 G0 G1 G12 (search for similar items in EconPapers)
Date: 2007-06
New Economics Papers: this item is included in nep-bec, nep-dge, nep-mac and nep-rmg
Note: AP EFG IFM
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Citations: View citations in EconPapers (29)

Published as Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300.

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