Research Interests:
Research Interests:
We put forward a general equilibrium model that links the cross-section variation of expected returns to firms’ life cycle dynamics. In the model all assets have the same exposure to short-run consumption risks, but di¤er in their... more
We put forward a general equilibrium model that links the cross-section variation of expected returns to firms’ life cycle dynamics. In the model all assets have the same exposure to short-run consumption risks, but di¤er in their exposure to long-run consumption risks (Bansal and Yaron (2004)). An econometrician who uses conditional CAPM regression to predict asset returns will obtain higher