Long-run risks and financial markets


Journal Article

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 G0, G00, G1, G10, G12) © 2007, The Federal Reserve Bank of St. Louis.

Full Text

Duke Authors

Cited Authors

  • Bansal, R

Published Date

  • January 1, 2007

Published In

Volume / Issue

  • 89 / 4

Start / End Page

  • 283 - 299

International Standard Serial Number (ISSN)

  • 0014-9187

Digital Object Identifier (DOI)

  • 10.20955/r.89.283-300

Citation Source

  • Scopus