Publications [#266082] of Ravi Bansal

Journal Articles

1. Bansal, R; Shaliastovich, I, Learning and asset-price jumps, Review of Financial Studies, vol. 24 no. 8 (August, 2011), pp. 2738-2780, Oxford University Press (OUP), ISSN 0893-9454 [doi]
   (last updated on 2026/01/15)

   Abstract:
   We develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves (jumps). These large price jumps are triggered by optimal decisions of investors to learn the unobserved state. We show that learning choice is determined by preference parameters and the conditional volatility of income process. An important model prediction is that income volatility predicts future jump periods, while income growth does not. Consistent with the model, large moves in returns in the data are predicted by consumption volatility but not by consumption growth. © 2011 The Authors.