Estimating and Testing Long-Run Risk Models: International Evidence

References

• Abel AB (1999) Risk premia and term premia in general equilibrium. J. Monetary Econom. 43(1):3–33.Crossref, Google Scholar
• Ai H (2010) Information quality and long-run risk: Asset pricing implications. J. Finance 65(4):1333–1367.Crossref, Google Scholar
• Albuquerque R, Eichenbaum M, Luo V, Rebelo S (2016) Valuation risk and asset pricing. J. Finance 71(6):2861–2904.Crossref, Google Scholar
• Andrieu C, Doucet A, Holenstein R (2010) Particle Markov chain Monte Carlo (with discussions). J. Royal Statist. Soc. B 72(3):269–342.Crossref, Google Scholar
• Bansal R, Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.Crossref, Google Scholar
• Bansal R, Gallant R, Tauchen G (2007) Rational pessimism and exuberance. Rev. Econom. Stud. 74(4):1005–1033.Crossref, Google Scholar
• Bansal R, Kiku D, Yaron A (2012) An empirical evaluation of the long-run risks model for asset prices. Critical Finance Rev. 1(1):183–221.Crossref, Google Scholar
• Bansal R, Kiku D, Yaron A (2016) Risks for the long run: Estimation with time aggregation. J. Monetary Econom. 82:52–69.Crossref, Google Scholar
• Bansal R, Kiku D, Shaliastovich I, Yaron A (2014) Volatility, the macroeconomy, and asset prices. J. Finance 69(6):2471–2511.Crossref, Google Scholar
• Beeler J, Campbell JY (2012) The long-run risks model and aggregate asset prices: An empirical assessment. Critical Finance Rev. 1(1):141–182.Crossref, Google Scholar
• Borovicka J, Stachurski J (2020) Necessary and sufficient conditions for existence and uniqueness of recursive utilities. J. Finance 75(3):1457–1493.Crossref, Google Scholar
• Campbell JY (1999) Asset prices, consumption, and the business cycle. Taylor J, Woodford M, eds. Handbook of Macroeconomics, vol. 1C (Elsevier, Amsterdam), 1231–1303.Google Scholar
• Campbell JY (2003) Consumption-based asset pricing. Constantinides GM, Harris M, Stulz RM, eds. Financial Markets and Asset Pricing, Handbook of the Economics of Finance, vol. 1B (Elsevier, Amsterdam), 803–887.Crossref, Google Scholar
• Campbell JY (2018) Financial Decisions and Markets (Princeton University Press, Princeton, NJ).Google Scholar
• Campbell JY, Cochrane JH (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
• Campbell JY, Shiller RJ (1988) Stock prices, earnings, and expected dividends. J. Finance 43(3):661–676.Crossref, Google Scholar
• Chen X, Favilukis J, Ludvigson S (2013) An estimation of economic models with recursive preferences. Quant. Econom. 4(1):39–83.Crossref, Google Scholar
• Chopin N, Jacob PE, Papaspiliopoulos O (2013) SMC2: An efficient algorithm for sequential analysis of state space models. J. Royal Statist. Soc. B 75(3):397–426.Crossref, Google Scholar
• Cochrane J (2005) Asset Pricing, revised ed. (Princeton University Press, Princeton, NJ).Google Scholar
• Cochrane JH (2008) Financial markets and the real economy. Mehra R, ed. Handbook of the Equity Risk Premium (Elsevier, Amsterdam), 237–325.Crossref, Google Scholar
• Creal DD (2017) A class of non-Gaussian state space models with exact likelihood inference. J. Bus. Econom. Statist. 35(4):585–597.Crossref, Google Scholar
• Creal DD, Wu JC (2015) Estimation of affine term structure models with spanned or unspanned stochastic volatility. J. Econometrics 185(1):60–81.Crossref, Google Scholar
• Creal DD, Wu JC (2020) Bond risk premia in consumption-based models. Quant. Econom. 11(4):1461–1484.Crossref, Google Scholar
• Croce MM (2014) Long-run productivity risk: A new hope for production-based asset pricing? J. Monetary Econom. 66:13–31.Crossref, Google Scholar
• Del Moral P, Doucet A, Jasra A (2006) Sequential Monte Carlo samplers. J. Royal Statist. Soc. B 68(3):411–436.Crossref, Google Scholar
• Duan J-C, Fulop A (2015) Density-tempered marginalized sequential Monte Carlo samplers. J. Bus. Econom. Statist. 33(2):192–202.Crossref, Google Scholar
• Epstein LG, Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.Crossref, Google Scholar
• Fama E, French K (2012) Size, value, and momentum in international stock returns. J. Financial Econom. 105(3):457–472.Crossref, Google Scholar
• Fulop A, Li J (2013) Efficient learning via simulation: A marginalized resample-move approach. J. Econometrics 176(2):146–161.Crossref, Google Scholar
• Fulop A, Li J (2019) Bayesian estimation of dynamic asset pricing models with informative observations. J. Econometrics 209(1):114–138.Crossref, Google Scholar
• Fulop A, Heng J, Li J, Liu H (2022) Bayesian estimation of long-run risk models using sequential Monte Carlo. J. Econometrics 228(1):62–84.Crossref, Google Scholar
• Gallant AR, Jahan-Parvar MR, Liu H (2019) Does smooth ambiguity matter for asset pricing? Rev. Financial Stud. 32(9):3617–3666.Google Scholar
• Gourieroux C, Jasiak J (2006) Autoregressive gamma processes. J. Forecasting 25(2):129–152.Crossref, Google Scholar
• Hansen LP (1982) Large sample properties of generalized method of moments estimators. Econometrica 50(4):1029–1054.Crossref, Google Scholar
• Jahan-Parvar M, Liu H (2014) Ambiguity aversion and asset prices in production economies. Rev. Financial Stud. 27(10):3060–3097.Crossref, Google Scholar
• Ju N, Miao J (2012) Ambiguity, learning, and asset returns. Econometrica 80(2):559–591.Crossref, Google Scholar
• Judd KL (1992) Projection methods for solving aggregate growth models. J. Econom. Theory 58(2):410–452.Crossref, Google Scholar
• Judd KL (1999) Numerical Methods in Economics, 1st ed. (The MIT Press, Cambridge, MA).Google Scholar
• Li J (2011) Sequential Bayesian analysis of time-changed infinite activity derivatives pricing models. J. Bus. Econom. Statist. 29(4):468–480.Crossref, Google Scholar
• Mehra R, Prescott EC (1985) The equity premium: A puzzle. J. Monetary Econom. 15(2):145–161.Crossref, Google Scholar
• Nakamura E, Sergeyev D, Steinsson J (2017) Growth-rate and uncertainty shocks in consumption: Cross-country evidence. Amer. Econom. J. Macroeconom. 9(1):1–39.Crossref, Google Scholar
• Pohl W, Schmedders K, Wilms O (2018) Higher-order effects in asset pricing models with long-run risks. J. Finance 73(3):1061–1111.Crossref, Google Scholar
• Rangvid J, Schmeling M, Schrimpf A (2010) Long-run consumption risk and international stock returns: A century of evidence. Working paper, Bank for International Settlements, Basel, Switzerland.Google Scholar
• Rangvid J, Schmeling M, Schrimpf A (2014) Dividend predictability around the world. J. Financial Quant. Anal. 49(5/6):1255–1277.Crossref, Google Scholar
• Routledge BR, Zin SE (2010) Generalized disappointment aversion and asset prices. J. Finance 65(4):1303–1332.Crossref, Google Scholar
• Schorfheide F, Song D, Yaron A (2018) Identifying long-run risks: A Bayesian mixed-frequency approach. Econometrica 86(2):617–654.Crossref, Google Scholar
• Shanken J (1992) On the estimation of beta pricing models. Rev. Financial Stud. 5(1):1–34.Crossref, Google Scholar
• Wachter JA (2013) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68(3):987–1035.Crossref, Google Scholar
• Weil P (1989) The equity premium puzzle and the risk-free rate puzzle. J. Monetary Econom. 24(3):401–421.Crossref, Google Scholar