Cointegration and Consumption Risks in Asset Returns

By Ravi Bansal, Robert F. Dittmar, Dana Kiku. 2009

190 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6bc79d0a454a4cb4a4a98c3c67ca4a273034c12

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Citations in the corpus

Dividend Dynamics and the Term Structure of Dividend Strips (2015, unknown): “A noncomprehensive list includes Bansal, Dittmar, and Lundblad (2001) (2005), Hansen, Heaton, and Li (2008), Bansal, Dittmar, and Kiku (2009), and Bansal, Kiku, and Yaron (2010).”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, methodology): “Bansal and Yaron (2004) and Bansal et al. (2007a) calibrate the LRR model to annual data from 1930–2008 and document that the model can match the risk-free rate, equity premium, predictability and other important asset market data features. Beeler and Campbell (2011) carry out an empirical evaluatio”
Cash Flow Sensitivities and the Allocation of Internal Cash Flow (2014, unknown): “4 Beveridge and Nelson’s decomposition is widely used in the asset pricing literature, such as by Cochrane (1994), Bansal, Dittmar, and Kiku (2009), Garleanu, Kogan, and Panageas (2012) and Garleanu, Panageas, and Yu (2012).”
Empirical cross-sectional asset pricing: a survey (2011, result): “Bansal et al. (2005, 2009), Hansen et al. (2008), and Malloy et al. (2009) find support for this model.”
Long‐Term Risk: An Operator Approach (2006, background): “(See Bansal et al. (2007) for a recent addition to this literature.”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “…SET B and SET C ounds on the permanent and transitory components of 12), doi:10.1016/j.jfineco.2012.01.003 2 Recent studies include, among others, Bansal, Dittmar, and Kiku (2009), Constantinides and Ghosh (2008), Croce, Lettau, and Ludvigson (2008), Ferson, Nallareddy, and Xie (2010),…”
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, methodology): “Some more recent research, notably Bansal et al. (2009) and Hansen et al. (2008), emphasizes such cointegration.”
Asset pricing tests with long run risks in consumption growth (2011, unknown): “…log price-dividend ratio, the log risk free rate, and their lags, in addition to consump- 1For further references, see Alvarez and Jerman (2005), Bansal, Dittmar, and Kiku (2009), Bansal, Gallant, and Tauchen (2007), Bansal, Kiku, and Yaron (2010), Bansal and Shaliastovich (2010), Beeler and…”