Abstract
I analyse predictability of returns by the dividend-price ratio in the long-run risks model of Bansal and Yaron (2004). I find that the model does not generate predictability patterns consistently with the data. I connect this shortcoming to specific features of the long-run risks processes.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
