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~isPartOf:"NBER working paper series"
~person:"Bansal, Ravi"
~subject:"Risk premium"
~subject:"Volatilität"
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Risk premium
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Bansal, Ravi
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ECONIS (ZBW)
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1
Macroeconomic Announcement Premium
Ai, Hengjie
;
Bansal, Ravi
;
Guo, Hongye
-
National Bureau of Economic Research
-
2023
pricing
models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days …
Persistent link: https://www.econbiz.de/10014437054
Saved in:
2
Risks For the Long Run : Estimation with Time Aggregation
Bansal, Ravi
-
2012
The long-run risks (LRR) asset
pricing
model emphasizes the role of low-frequency movements in expected growth and … affect parameter estimates and statistical inference. Imposing the
pricing
restrictions and explicitly accounting for time …
Persistent link: https://www.econbiz.de/10012460356
Saved in:
3
Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi
-
2012
negative when volatility risk is ignored. Our model setup implies a dynamics capital asset
pricing
model (DCAPM) which …
Persistent link: https://www.econbiz.de/10012460556
Saved in:
4
The Term Structure of Equity Risk Premia
Bansal, Ravi
-
2019
, as in standard asset
pricing
models (habits and long-run risks), is increasing with maturity. The regime-switching model … asset
pricing
models …
Persistent link: https://www.econbiz.de/10012479642
Saved in:
5
Long-Run Risks and Financial Markets
Bansal, Ravi
-
2007
The recently developed long-run risks asset
pricing
model shows that concerns about long-run expected growth and time …
Persistent link: https://www.econbiz.de/10012465457
Saved in:
6
Rational Pessimism, Rational Exuberance, and Asset
Pricing
Models
Bansal, Ravi
-
2007
The paper estimates and examines the empirical plausibiltiy of asset
pricing
models that attempt to explain features of …
Persistent link: https://www.econbiz.de/10012465547
Saved in:
7
Risks for the Long Run : A Potential Resolution of Asset
Pricing
Puzzles
Bansal, Ravi
-
2000
We model dividend and consumption growth rates as containing a small long-run predictable component and economic uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing volatility in growth rates, as in the data, are quite small....
Persistent link: https://www.econbiz.de/10012470673
Saved in:
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