The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models

Jianfeng Yu
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Jianfeng Yu: University of Minnesota

No 56, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: expected returns to the cyclical fluctuations in consumption. The models by Bansal and Yaron (2004) and Panageas and Yu (2005) provide examples of such models.

Date: 2009
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