Long-run risks and financial markets

Ravi Bansal

Review, 2007, vol. 89, issue Jul, 283-300

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.

Keywords: Financial markets; Risk (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (14)

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Working Paper: Long-Run Risks and Financial Markets (2007)
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