In this paper, motivated by existing and growing evidence on multiple macroeconomic volatilities, we extend the long-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of economic fundamentals. With this extension, the new...

We propose a 4-factor model for the Chinese stock market by adding a trend factor into the market, size, and value of Liu, Stambaugh, and Yuan's (2019) 3-factor model. Because of up to 80% of individual trading, the trend factor captures salient relevant price and volume trends, and earns a...

In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model. It...