Publications [#42549] of Dana Kiku

Working Papers

  1. Trend/Cycle Risks: Decomposition and Premia (2003)
    (last updated on 2005/10/31)

    Abstract:

    This paper studies the relative importance of long- and short-run risks in assets' cash flows in explaining the cross-sectional variation in risk premia. Permanent and transitory economic shocks are identified using two different methodologies developed in Engle and Vahid (1993), and Gonzalo and Granger (1995). I find that the cost of long-run economic uncertainty far exceeds that for business-cycle fluctuations. Even though, short-run cash-flow betas contain valuable information about the risk-return tradeoff.