Long Run Risks

The Term Structure of Equity Risk Premia (with Shane Miller, Dongho Song, and Amir Yaron)

Journal of Financial Economics, 2021, Forthcoming

SSRN

Risks for the Long Run: Estimation and Inference with Time Aggregation (with Dana Kiku and Amir Yaron)

Journal of Monetary Economics, September 2016, Pages 52–69

Elsevier | PDF file

Volatility, the Macroeconomy and Asset Prices (with Dana Kiku, Ivan Shaliastovich, and Amir Yaron)

Journal of Finance, December 2014, 69:2471–2511

American Finance Association | PDF file

A Long Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (with Ivan Shaliastovich)

Lead article, Review of Financial Studies, 2013, 26(1): 1-33

Oxford University Press | PDF file

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (with Dana Kiku and Amir Yaron)

Critical Finance Review, 2012, Vol. 1: No 1, pp 183-221

Now Publishers | PDF file

Learning, Long Run Risks, and Asset Price Jumps (with Ivan Shaliastovich)

Review of Financial Studies, 2011, 24: 2738-2780

Oxford University Press | PDF file

Cointegration and Long-Run Asset Allocation (with Dana Kiku)

Journal of Business and Economic Statistics, 2011, Vol. 29, No. 1, 161-173

Taylor & Francis Online | PDF file

Confidence Risk and Asset Prices (with Ivan Shaliastovich)

American Economic Review, p&p, May 2010, 537-541

American Economic Association | PDF file

Long-Run Risks, the Macro-economy and Asset Prices (with Dana Kiku and Amir Yaron)

American Economic Review, p&p, May 2010, 542-546

American Economic Association | PDF file

Cointegration and Consumption Risks in Equity Returns (with Robert Dittmar and Dana Kiku)

Review of Financial Studies, 2009, 22: 1343 - 1375

Oxford University Press | PDF file

Rational Pessimism, Rational Exuberance, and Asset Pricing Models (with Ronald Gallant and George Tauchen)

Review of Economic Studies, Vol. 74, October 2007, 1005-1033

Oxford University Press | PDF file

Long Run Risks and Financial Markets

The Review, St. Louis Federal Reserve Bank, Vol. 89, July/August 2007, 283-300

PDF file

Long Run Risks and Risk Compensation in Equity Markets

Handbook of Investments: Equity Risk Premium, edited by Rajnish Mehra, North Holland, Amsterdam 2006

PDF file

Consumption, Dividends, and the Cross-Section of Equity Returns (with Robert Dittmar and Christian Lundblad)

Lead Article, Journal of Finance, 60, August 2005, 1639-1672

American Finance Association | PDF file

• Nominated for Smith-Breeden best paper award, American Finance Association and the Journal of Finance, 2005

Interpretable Asset Markets (with Varoujan Khatchatrian and Amir Yaron)

Lead Article, European Economic Review, 49, April 2005, 531-560

Elsevier | PDF file

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (with Amir Yaron)

Journal of Finance, 59, August 2004, 1481-1509

American Finance Association | PDF file

• Winner of the Smith-Breeden Paper Award, American Finance Association and the Journal of Finance, 2004

Market Efficiency, Asset Returns, and the Size of the Risk Premium in Global Equity Markets (with Christian Lundblad)

Lead Article, Journal of Econometrics, 109, August 2002, 195-237

Elsevier | PDF file

Working Papers

Uncertainty-Induced Reallocations and Growth (with Max Croce, Wenxi Liao, and Sam Rosen)

2020

SSRN

Scale, Sectors, and Risk (with Dana Kiku and Shane Miller)

2020

Work in Progress

Equilibrium Wealth Share Dynamics (with Colin Ward and Amir Yaron)

2020

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