Long-run risks and financial markets
By: Ravi Bansal.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- no. 13196.; Working paper series (National Bureau of Economic Research) -- working paper no. 13196.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 32
Subjects: Assets (Accounting) -- Prices -- Econometric models
Description: "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."--abstract.
Notes: "June 2007"

Includes bibliographical references (p. 21-24).

Also available in PDF from the NBER world wide web site (www.nber.org).