Publications [#357940] of Ravi Bansal

Journal Articles

1. Bansal, R; Miller, S; Song, D; Yaron, A, The term structure of equity risk premia, Journal of Financial Economics, vol. 142 no. 3 (December, 2021), pp. 1209-1228 [doi]
   (last updated on 2024/04/18)

   Abstract:
   We estimate a regime-switching model for the equity term structure with Bayesian methods. Our approach accounts for the data sample being unrepresentative of the population distribution of regimes. We find that (i) the term structure of expected equity dividend strip returns is downward sloping in recessions and upward sloping in expansions, and (ii) the unconditional term structure of expected equity returns is positively sloped. Our estimation shows that the sample unrepresentativeness induces a downward bias in the estimate of the equity term structure slope. We present a regime-switching consumption-based asset-pricing model that matches the empirical findings.