In this paper, I identify the long-run risks (LRR) in the frequency domain, and further estimate the macro (consumption) risk premia in different frequency ranges. To achieve the identification, I employ the long-run projections and the associated inference procedure for I(0) process developed...

This article examines the validity of regressions that use the ratio variables as regressors for analyzing the stock returns. Although price-earnings and price-book value ratios have been often used as regressors, their coefficients rarely find the causal effects due to the omitted variables...