featuring consumption externalities, recursive utility, and jump risk …

We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations … in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but …

featuring consumption externalities, recursive utility, and jump risk …

We create an analytical structure that reveals the long run risk-return relationship for nonlinear continuous time … constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the …, we reveal a long-run risk return tradeoff …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …