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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …
Persistent link: https://www.econbiz.de/10013106078
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Temperature, Aggregate Risk, and Expected Returns
Bansal, Ravi - 2011
In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp...
Persistent link: https://www.econbiz.de/10013118834
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Cointegration and Consumption Risks in Asset Returns
Bansal, Ravi - 2007
We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run...
Persistent link: https://www.econbiz.de/10012776939