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| Publications of Ravi Bansal :chronological alphabetical by type listing:
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@article{fds363001,
Author = {Bansal, R and Wu, DA and Yaron, A},
Title = {Socially Responsible Investing in Good and Bad
Times},
Journal = {Review of Financial Studies},
Volume = {35},
Number = {4},
Pages = {2067-2099},
Year = {2022},
Month = {April},
url = {http://dx.doi.org/10.1093/rfs/hhab072},
Abstract = {We investigate the time variability of abnormal returns from
socially responsible investing (SRI). Using portfolio
regressions and event studies on multiple data sources,
including analyst ratings, firm announcements, and realized
incidents, we find that highly rated SRI stocks outperform
lowly rated SRI stocks during good economic times, for
example, periods with high market valuations or aggregate
consumption, but underperform during bad times, such as
recessions. This variation in abnormal returns of high-SR
stocks vis-à-vis low SR stocks is consistent with a
wealth-dependent investor preference for SR stocks that
leads to an increased (decreased) demand for SRI during good
(bad) times.},
Doi = {10.1093/rfs/hhab072},
Key = {fds363001}
}
@article{fds357940,
Author = {Bansal, R and Miller, S and Song, D and Yaron, A},
Title = {The term structure of equity risk premia},
Journal = {Journal of Financial Economics},
Volume = {142},
Number = {3},
Pages = {1209-1228},
Year = {2021},
Month = {December},
url = {http://dx.doi.org/10.1016/j.jfineco.2021.05.043},
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.},
Doi = {10.1016/j.jfineco.2021.05.043},
Key = {fds357940}
}
@article{fds339265,
Author = {Ai, H and Bansal, R},
Title = {Risk Preferences and the Macroeconomic Announcement
Premium},
Journal = {Econometrica},
Volume = {86},
Number = {4},
Pages = {1383-1430},
Publisher = {The Econometric Society},
Year = {2018},
Month = {January},
url = {http://dx.doi.org/10.3982/ECTA14607},
Abstract = {This paper develops a revealed preference theory for the
equity premium around macroeconomic announcements. Stock
returns realized around pre-scheduled macroeconomic
announcements, such as the employment report and the FOMC
statements, account for 55% of the market equity premium. We
provide a characterization theorem for the set of
intertemporal preferences that generates a nonnegative
announcement premium. Our theory establishes that the
announcement premium identifies a significant deviation from
time-separable expected utility and provides
asset-market-based evidence for a large class of
non-expected utility models. We also provide conditions
under which asset prices may rise prior to some
macroeconomic announcements and exhibit a pre-announcement
drift.},
Doi = {10.3982/ECTA14607},
Key = {fds339265}
}
@article{fds322707,
Author = {Bansal, R and Kiku, D and Yaron, A},
Title = {Risks for the long run: Estimation with time
aggregation},
Pages = {52-69},
Publisher = {Elsevier BV},
Year = {2016},
Month = {September},
url = {http://dx.doi.org/10.1016/j.jmoneco.2016.07.003},
Abstract = {The discrepancy between the decision and data-sampling
intervals, known as time aggregation, confounds the
identification of long-, short-run growth, and volatility
risks in asset prices. This paper develops a method to
simultaneously estimate the model parameters and the
decision interval of the agent by exploiting identifying
restrictions of the Long Run Risk (LRR) model that account
for time aggregation. The LRR model finds considerable
empirical support in the data; the estimated decision
interval of the agents is 33 days. Our estimation results
establish that long-run growth and volatility risks are
important for asset prices.},
Doi = {10.1016/j.jmoneco.2016.07.003},
Key = {fds322707}
}
@article{fds266063,
Author = {Bansal, R and Kiku, D and Shaliastovich, I and Yaron,
A},
Title = {Volatility, the Macroeconomy, and Asset Prices},
Journal = {Journal of Finance},
Volume = {69},
Number = {6},
Pages = {2471-2511},
Publisher = {WILEY},
Year = {2014},
Month = {December},
ISSN = {0022-1082},
url = {http://dx.doi.org/10.1111/jofi.12110},
Abstract = {How important are volatility fluctuations for asset prices
and the macroeconomy? We find that an increase in
macroeconomic volatility is associated with an increase in
discount rates and a decline in consumption. We develop a
framework in which cash flow, discount rate, and volatility
risks determine risk premia and show that volatility plays a
significant role in explaining the joint dynamics of returns
to human capital and equity. Volatility risk carries a
sizable positive risk premium and helps account for the
cross section of expected returns. Our evidence demonstrates
that volatility is important for understanding expected
returns and macroeconomic fluctuations.},
Doi = {10.1111/jofi.12110},
Key = {fds266063}
}
@article{fds266084,
Author = {Bansal, R and Shaliastovich, I},
Title = {A long-run risks explanation of predictability puzzles in
bond and currency markets},
Journal = {Review of Financial Studies},
Volume = {26},
Number = {1},
Pages = {1-33},
Publisher = {Oxford University Press (OUP)},
Year = {2013},
Month = {January},
ISSN = {0893-9454},
url = {http://dx.doi.org/10.1093/rfs/hhs108},
Abstract = {We show that bond risk premia rise with uncertainty about
expected inflation and fall with uncertainty about expected
growth; the magnitude of return predictability using these
uncertainty measures is similar to that by multiple yields.
Motivated by this evidence, we develop and estimate a
long-run risks model with timevarying volatilities of
expected growth and inflation. The model simultaneously
accounts for bond return predictability and violations of
uncovered interest parity in currency markets. We find that
preference for early resolution of uncertainty, time-varying
volatilities, and non-neutral effects of inflation on growth
are important to account for these aspects of asset markets.
© 2012 The Author.},
Doi = {10.1093/rfs/hhs108},
Key = {fds266084}
}
@article{fds311136,
Author = {Bansal, R and Kiku, D and Yaron, A},
Title = {An Empirical Evaluation of the Long-Run Risks Model for
Asset Prices},
Volume = {1},
Number = {1},
Pages = {183-221},
Year = {2012},
Month = {January},
Abstract = {We provide an empirical evaluation of the Long-Run Risks
(LRR) model, and highlight important differences in the
asset pricing implications of the LRR model relative to the
habit model. We feature three key results: (i) consistent
with the LRR model there is considerable evidence in the
data for time-varying expected consumption growth and
consumption volatility, (ii) the LRR model matches the key
asset markets data features, (iii) in the data and in the
LRR model accordingly, lagged consumption growth does not
predict the future price-dividend ratio, while in the
habit-model it counterfactually predicts the future
price-dividend with an <italic>R</italic><sup>2</sup> of
over 40%. Overall, we find considerable empirical support
for the LRR model.},
Key = {fds311136}
}
@article{fds266082,
Author = {Bansal, R and Shaliastovich, I},
Title = {Learning and asset-price jumps},
Journal = {Review of Financial Studies},
Volume = {24},
Number = {8},
Pages = {2738-2780},
Publisher = {Oxford University Press (OUP)},
Year = {2011},
Month = {August},
ISSN = {0893-9454},
url = {http://dx.doi.org/10.1093/rfs/hhr023},
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.},
Doi = {10.1093/rfs/hhr023},
Key = {fds266082}
}
@article{fds266083,
Author = {Bansal, R and Kiku, D},
Title = {Cointegration and long-run asset allocation},
Journal = {Journal of Business and Economic Statistics},
Volume = {29},
Number = {1},
Pages = {161-173},
Publisher = {Informa UK Limited},
Year = {2011},
Month = {January},
ISSN = {0735-0015},
url = {http://dx.doi.org/10.1198/jbes.2010.08062},
Abstract = {We show that economic restrictions of cointegration between
asset cash flows and aggregate consumption have important
implications for return dynamics and optimal portfolio
rules, particularly at long investment horizons. When cash
flows and consumption share a common stochastic trend (i.e.,
are cointegrated), temporary deviations between their levels
forecast long-horizon dividend growth rates and returns, and
consequently, alter the term profile of risks and expected
returns. We show that the optimal asset allocation based on
the error-correction vector autoregression (EC-VAR)
specification can be quite different relative to a
traditional VAR that ignores the cointegrating relation.
Unlike the EC-VAR, the commonly used VAR approach to model
expected returns focuses on short-run forecasts and can
considerably miss on long-horizon return dynamics, and
hence, the optimal portfolio mix in the presence of
cointegration. We develop and implement methods to account
for parameter uncertainty in the EC-VAR setup and highlight
the importance of the error-correction channel for optimal
portfolio decisions at various investment horizons. © 2011
American Statistical Association.},
Doi = {10.1198/jbes.2010.08062},
Key = {fds266083}
}
@article{fds266080,
Author = {Bansal, R and Shaliastovich, I},
Title = {Confidence risk and asset prices},
Journal = {American Economic Review},
Volume = {100},
Number = {2},
Pages = {537-541},
Publisher = {American Economic Association},
Year = {2010},
Month = {May},
ISSN = {0002-8282},
url = {http://hdl.handle.net/10161/3297 Duke open
access},
Doi = {10.1257/aer.100.2.537},
Key = {fds266080}
}
@article{fds266081,
Author = {Bansal, R and Kiku, D and Yaron, A},
Title = {Long run risks, the macroeconomy, and asset
prices},
Journal = {American Economic Review},
Volume = {100},
Number = {2},
Pages = {542-546},
Publisher = {American Economic Association},
Year = {2010},
Month = {May},
ISSN = {0002-8282},
url = {http://hdl.handle.net/10161/3374 Duke open
access},
Doi = {10.1257/aer.100.2.542},
Key = {fds266081}
}
@article{fds266079,
Author = {Bansal, R and Dittmar, R and Kiku, D},
Title = {Cointegration and consumption risks in asset
returns},
Journal = {Review of Financial Studies},
Volume = {22},
Number = {3},
Pages = {1343-1375},
Publisher = {Oxford University Press (OUP)},
Year = {2009},
Month = {March},
ISSN = {0893-9454},
url = {http://dx.doi.org/10.1093/rfs/hhm085},
Abstract = {We argue that the cointegrating relation between dividends
and consumption, a measure of long-run consumption risks, is
a key determinant of risk premia at all investment horizons.
As the investment horizon increases, transitory risks
disappear, and the asset's beta is dominated by long-run
consumption risks. We show that the return betas, derived
from the cointegration-based VAR (EC-VAR) model,
successfully account for the cross-sectional variation in
equity returns at both short and long horizons; however,
this is not the case when the cointegrating restriction is
ignored. Our evidence highlights the importance of
cointegration-based long-run consumption risks for financial
markets.},
Doi = {10.1093/rfs/hhm085},
Key = {fds266079}
}
@article{fds266064,
Author = {Bansal, R},
Title = {Long-Run Risks and Risk Compensation in Equity
Markets},
Pages = {167-193},
Publisher = {Elsevier},
Year = {2008},
Month = {December},
url = {http://dx.doi.org/10.1016/B978-044450899-7.50009-9},
Doi = {10.1016/B978-044450899-7.50009-9},
Key = {fds266064}
}
@article{fds266078,
Author = {Bansal, R},
Title = {Long-run risks and financial markets},
Journal = {Federal Reserve Bank of St. Louis Review},
Volume = {89},
Number = {4},
Pages = {283-299},
Year = {2007},
Month = {January},
ISSN = {0014-9187},
url = {http://dx.doi.org/10.20955/r.89.283-300},
Abstract = {The recently developed long-run risks asset pricing model
shows that concerns about long-run expected growth and
time-varying uncertainty (i.e., volatility) about future
economic prospects drive asset prices. These two channels of
economic risks can account for the risk premia and asset
price fluctuations. In addition, the model can empirically
account for the cross-sectional differences in asset
returns. Hence, the long-run risks model provides a coherent
and systematic framework for analyzing financial markets.
(JEL G0, G00, G1, G10, G12) © 2007, The Federal Reserve
Bank of St. Louis.},
Doi = {10.20955/r.89.283-300},
Key = {fds266078}
}
@article{fds266077,
Author = {Bansal, R and Gallant, AR and Tauchen, G},
Title = {Rational pessimism, rational exuberance, and asset pricing
models},
Journal = {Review of Economic Studies},
Volume = {74},
Number = {4},
Pages = {1005-1033},
Publisher = {Oxford University Press (OUP)},
Year = {2007},
ISSN = {0034-6527},
url = {http://dx.doi.org/10.1111/j.1467-937X.2007.00454.x},
Abstract = {The paper estimates and examines the empirical plausibility
of asset pricing models that attempt to explain features of
financial markets such as the size of the equity premium and
the volatility of the stock market. In one model, the
long-run risks (LRR) model of Bansal and Yaron,
low-frequency movements, and time-varying uncertainty in
aggregate consumption growth are the key channels for
understanding asset prices. In another, as typified by
Campbell and Cochrane, habit formation, which generates
time-varying risk aversion and consequently time variation
in risk premia, is the key channel. These models are fitted
to data using simulation estimators. Both models are found
to fit the data equally well at conventional significance
levels, and they can track quite closely a new measure of
realized annual volatility. Further, scrutiny using a rich
array of diagnostics suggests that the LRR model is
preferred. © 2007 The Review of Economic Studies
Limited.},
Doi = {10.1111/j.1467-937X.2007.00454.x},
Key = {fds266077}
}
@misc{fds266062,
Author = {Bansal, R},
Title = {Long Run Risks and Risk Compensation in Equity
Market},
Booktitle = {Handbook of Investments: Equity Risk Premium},
Publisher = {North Holland},
Editor = {Mehra, R},
Year = {2006},
Key = {fds266062}
}
@article{fds266075,
Author = {Bansal, R and Dittmar, RF and Lundblad, CT},
Title = {Consumption, dividends, and the cross section of equity
returns},
Journal = {Journal of Finance},
Volume = {60},
Number = {4},
Pages = {1639-1672},
Publisher = {WILEY},
Year = {2005},
Month = {August},
ISSN = {0022-1082},
url = {http://dx.doi.org/10.1111/j.1540-6261.2005.00776.x},
Abstract = {We show that aggregate consumption risks embodied in cash
flows can account for the puzzling differences in risk
premia across book-to-market, momentum, and size-sorted
portfolios. The dynamics of aggregate consumption and cash
flow growth rates, modeled as a vector autoregression, are
used to measure the consumption beta of discounted cash
flows. Differences in these cash flow betas account for more
than 60% of the cross-sectional variation in risk premia.
The market price for risk in cash flows is highly
significant. We argue that cash flow risk is important for
interpreting differences in risk compensation across
assets.},
Doi = {10.1111/j.1540-6261.2005.00776.x},
Key = {fds266075}
}
@article{fds266076,
Author = {Bansal, R and Khatchatrian, V and Yaron, A},
Title = {Interpretable asset markets?},
Journal = {European Economic Review},
Volume = {49},
Number = {3},
Pages = {531-560},
Publisher = {Elsevier BV},
Year = {2005},
Month = {April},
ISSN = {0014-2921},
url = {http://dx.doi.org/10.1016/j.euroecorev.2004.09.002},
Abstract = {In this paper we show that measures of economic uncertainty
(conditional volatility of consumption) predict and are
predicted by valuation ratios at long horizons. Further we
document that asset valuations drop as economic uncertainty
rises-that is, financial markets dislike economic
uncertainty. Moreover, future earnings growth rates are
sharply predicted by current price-earnings ratios. It seems
that much of the variation in asset prices can be attributed
to fluctuations in economic uncertainty and expected
cash-flow growth. This empirical evidence is consistent with
the implications of existing parametric general equilibrium
models. Hence, the channels of fluctuating economic
uncertainty and expected growth seem important for
interpreting asset markets. © 2004 Elsevier B.V. All rights
reserved.},
Doi = {10.1016/j.euroecorev.2004.09.002},
Key = {fds266076}
}
@article{fds266072,
Author = {Bansal, R and Tauchen, G and Zhou, H},
Title = {Regime shifts, risk premiums in the term structure, and the
business cycle},
Journal = {Journal of Business and Economic Statistics},
Volume = {22},
Number = {4},
Pages = {396-409},
Publisher = {Informa UK Limited},
Year = {2004},
Month = {October},
url = {http://dx.doi.org/10.1198/073500104000000398},
Abstract = {Recent evidence indicates that using multiple forward rates
sharply predicts future excess returns on U.S. Treasury
Bonds, with the R2's being around 30%. The projection
coefficients in these regressions exhibit a distinct pattern
that relates to the maturity of the forward rate. These
dimensions of the data, in conjunction with the transition
dynamics of bond yields, offer a serious challenge to term
structure models. In this article we show that a
regime-shifting term structure model can empirically account
for these challenging data features. Alternative models,
such as affine specification, fail to account for these
important features. We find that regimes in the model are
intimately related to bond risk premia and real business
cycles.},
Doi = {10.1198/073500104000000398},
Key = {fds266072}
}
@article{fds266074,
Author = {Bansal, R and Yaron, A},
Title = {Risks for the long run: A potential resolution of asset
pricing puzzles},
Journal = {Journal of Finance},
Volume = {59},
Number = {4},
Pages = {1481-1509},
Publisher = {WILEY},
Year = {2004},
Month = {August},
ISSN = {0022-1082},
url = {http://dx.doi.org/10.1111/j.1540-6261.2004.00670.x},
Abstract = {We model consumption and dividend growth rates as containing
(1) a small longrun predictable component, and (2)
fluctuating economic uncertainty (consumption volatility).
These dynamics, for which we provide empirical support, in
conjunction with Epstein and Zin's (1989) preferences, can
explain key asset markets phenomena. In our economy,
financial markets dislike economic uncertainty and better
long-run growth prospects raise equity prices. The model can
justify the equity premium, the risk-free rate, and the
volatility of the market return, risk-free rate, and the
price-dividend ratio, As in the data, dividend yields
predict returns and the volatility of returns is
time-varying.},
Doi = {10.1111/j.1540-6261.2004.00670.x},
Key = {fds266074}
}
@article{fds266073,
Author = {Bansal, R and Christiano, L and Mendoza, EG},
Title = {Introduction: Macroeconomic implications of capital flows in
a global economy},
Journal = {Journal of Economic Theory},
Volume = {119},
Number = {1 SPEC. ISS.},
Pages = {1-5},
Publisher = {Elsevier BV},
Year = {2004},
Month = {January},
url = {http://dx.doi.org/10.1016/j.jet.2004.07.002},
Abstract = {The papers in this volume address issues raised by the wave
of financial crises that hit emerging markets since the mid
1990s. Several of the papers examine the role that different
credit market frictions may have played in triggering the
crises, or in determining the effects of policies aimed at
containing them. Other papers ask more general questions
about the implications of international financial
integration for business cycles, risk sharing, and sovereign
lending. © 2004 Elsevier Inc. All rights
reserved.},
Doi = {10.1016/j.jet.2004.07.002},
Key = {fds266073}
}
@article{fds266070,
Author = {Bansal, R and Lundblad, C},
Title = {Market efficiency, asset returns, and the size of the risk
premium in global equity markets},
Journal = {Journal of Econometrics},
Volume = {109},
Number = {2},
Pages = {195-237},
Publisher = {Elsevier BV},
Year = {2002},
Month = {August},
url = {http://dx.doi.org/10.1016/S0304-4076(02)00067-2},
Abstract = {An important economic insight is that observed equity prices
must equal the present value of the cash flows associated
with the equity claim. An implication of this insight is
that present values of cash flows must also quantitatively
justify the observed volatility and cross-correlations of
asset returns. In this paper, we show that parametric
economic models for present values can indeed account for
the observed high ex post return volatility and
cross-correlation observed across five major equity markets
- the U.S., the U.K., France, Germany, and Japan. We present
evidence that cash flow growth rates contain a small
predictable long-run component; this feature, in conjunction
with time-varying systematic risk, can justify key empirical
characteristics of observed equity prices. Our model also
has direct implications for the level of equity prices and
specific versions of the model can, in many cases, capture
observed price levels. Our evidence suggests that the ex
ante risk premium on the global market portfolio has dropped
considerably - we show that this fall in the risk premium is
related to a decline in the conditional variance of global
real cash flow growth rates. © 2002 Elsevier Science B.V.
All rights reserved.},
Doi = {10.1016/S0304-4076(02)00067-2},
Key = {fds266070}
}
@article{fds266071,
Author = {Bansal, R and Zhou, H},
Title = {Term structure of interest rates with regime
shifts},
Journal = {Journal of Finance},
Volume = {57},
Number = {5},
Pages = {1997-2043},
Publisher = {WILEY},
Year = {2002},
Month = {January},
url = {http://dx.doi.org/10.1111/0022-1082.00487},
Abstract = {We develop a term structure model where the short interest
rate and the market price of risks are subject to discrete
regime shifts. Empirical evidence from efficient method of
moments estimation provides considerable support for the
regime shifts model. Standard models, which include affine
specifications with up to three factors, are sharply
rejected in the data. Our diagnostics show that only the
regime shifts model can account for the well-documented
violations of the expectations hypothesis, the observed
conditional volatility, and the conditional correlation
across yields. We find that regimes are intimately related
to business cycles.},
Doi = {10.1111/0022-1082.00487},
Key = {fds266071}
}
@article{fds266069,
Author = {Bansal, R and Dahlquist, M},
Title = {The forward premium puzzle: Different tales from developed
and emerging economies},
Journal = {Journal of International Economics},
Volume = {51},
Number = {1},
Pages = {115-144},
Publisher = {Elsevier BV},
Year = {2000},
Month = {January},
url = {http://dx.doi.org/10.1016/S0022-1996(99)00039-2},
Abstract = {In this paper we document new results regarding the forward
premium puzzle. The often found negative correlation between
the expected currency depreciation and interest rate
differential is, contrary to popular belief, not a pervasive
phenomenon. It is confined to developed economies, and here
only to states where the U.S. interest rate exceeds foreign
interest rates. Furthermore, we find that differences across
economies are systematically related to per capita GNP,
average inflation rates, and inflation volatility. Our
empirical work suggests that it is hard to justify the
cross-sectional differences in the risk premia as
compensation for systematic risk. Instead, country-specific
attributes seem to be important in characterizing the
cross-sectional dispersion in the risk premia. (C) 2000
Elsevier Science B.V. All rights reserved.},
Doi = {10.1016/S0022-1996(99)00039-2},
Key = {fds266069}
}
@article{fds266065,
Author = {Bansal, R and Lehmann, BN},
Title = {Growth-optimal portfolio restrictions on asset pricing
models},
Journal = {Macroeconomic Dynamics},
Volume = {1},
Number = {2},
Pages = {333-354},
Year = {1997},
Month = {January},
ISSN = {1365-1005},
url = {http://dx.doi.org/10.1017/s1365100597003039},
Abstract = {We show that absence of arbitrage in frictionless markets
implies a lower bound on the average of the logarithm of the
reciprocal of the stochastic discount factor implicit in
asset pricing models. The greatest lower bound for a given
asset menu is the average continuously compounded return on
its growth-optimal portfolio. We use this bound to evaluate
the plausibility of various parametric asset pricing models
to characterize financial market puzzles such as the equity
premium puzzle and the risk-free rate puzzle. We show that
the insights offered by the growth-optimal bounds differ
substantially from those obtained by other nonparametric
bounds.},
Doi = {10.1017/s1365100597003039},
Key = {fds266065}
}
@article{fds266068,
Author = {Bansal, R},
Title = {An exploration of the forward premium puzzle in currency
markets},
Journal = {Review of Financial Studies},
Volume = {10},
Number = {2},
Pages = {369-403},
Publisher = {Oxford University Press (OUP)},
Year = {1997},
Month = {January},
url = {http://dx.doi.org/10.1093/rfs/10.2.369},
Abstract = {A standard empirical finding is that expected changes in
exchange rates and interest rate differentials across
countries are negatively related, implying that uncovered
interest rate parity is violated in the data. This article
provides new empirical evidence that suggests that
violations of uncovered interest rate parity, and its
economic implications, depend on the sign of the interest
rate differential A framework related to term structure
models is developed to account for the puzzling relationship
between expected changes in exchange rates and interest rate
differentials. Estimation results suggest that a particular
term structure model can account for the puzzling empirical
evidence.},
Doi = {10.1093/rfs/10.2.369},
Key = {fds266068}
}
@misc{fds266061,
Author = {Bansal, R},
Title = {Growth-Optimal Portfolio Restrictions on Asset Pricing
Model},
Volume = {1},
Pages = {333-354},
Booktitle = {Macroeconomic Dynamics},
Year = {1997},
Key = {fds266061}
}
@article{fds266066,
Author = {Bansal, R and Coleman, WJ},
Title = {A monetary explanation of the equity premium, term premium,
and risk-free rate puzzles},
Journal = {Journal of Political Economy},
Volume = {104},
Number = {6},
Pages = {1135-1171},
Publisher = {University of Chicago Press},
Year = {1996},
Month = {January},
url = {http://dx.doi.org/10.1086/262056},
Abstract = {This paper develops and estimates a monetary model that
offers an explanation of some puzzling features of observed
returns on equities and default-free bonds. The key feature
of the model is that some assets other than money play a
special role in facilitating transactions, which affects the
rate of return that they offer. The model is capable of
producing a low risk-free rate, a high equity premium, and
an average positive relationship between maturity and term
premium for default-free bonds. The model's implications for
the joint distribution of asset returns, velocity,
inflation, money growth, and consumption growth are also
compared to the behavior of these variables in the U.S.
economy.},
Doi = {10.1086/262056},
Key = {fds266066}
}
@article{fds266067,
Author = {Bansal, R and Gallant, AR and Hussey, R and Tauchen,
G},
Title = {Nonparametric estimation of structural models for
high-frequency currency market data},
Journal = {Journal of Econometrics},
Volume = {66},
Number = {1-2},
Pages = {251-287},
Publisher = {Elsevier BV},
Year = {1995},
Month = {January},
ISSN = {0304-4076},
url = {http://hdl.handle.net/10161/1902 Duke open
access},
Abstract = {Empirical modeling of high-frequency currency market data
reveals substantial evidence for nonnormality, stochastic
volatility, and other nonlinearities. This paper
investigates whether an equilibrium monetary model can
account for nonlinearities in weekly data. The model
incorporates time-nonseparable preferences and a transaction
cost technology. Simulated sample paths are generated using
Marcet's parameterized expectations procedure. The paper
also develops a new method for estimation of structural
economic models. The method forces the model to match (under
a GMM criterion) the score function of a nonparametric
estimate of the conditional density of observed data. The
estimation uses weekly U.S.-German currency market data,
1975-90. © 1995.},
Doi = {10.1016/0304-4076(94)01618-A},
Key = {fds266067}
}
@misc{fds266060,
Author = {Bansal, R},
Title = {Computational Aspects of Nonparametric Simulation
Estimation},
Publisher = {Kluwer Academic Publishers},
Editor = {Belsley, D},
Year = {1994},
Key = {fds266060}
}
@article{fds311138,
Author = {BANSAL, R and VISWANATHAN, S},
Title = {No Arbitrage and Arbitrage Pricing: A New
Approach},
Journal = {The Journal of Finance},
Volume = {48},
Number = {4},
Pages = {1231-1262},
Publisher = {WILEY},
Year = {1993},
Month = {January},
ISSN = {0022-1082},
url = {http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993MB51200005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=47d3190e77e5a3a53558812f597b0b92},
Abstract = {We argue that arbitrage‐pricing theories (APT) imply the
existence of a low‐dimensional nonnegative nonlinear
pricing kernel. In contrast to standard constructs of the
APT, we do not assume a linear factor structure on the
payoffs. This allows us to price both primitive and
derivative securities. Semi‐nonparametric techniques are
used to estimate the pricing kernel and test the theory.
Empirical results using size‐based portfolio returns and
yields on bonds reject the nested capital asset‐pricing
model and linear APT and support the nonlinear APT.
Diagnostics show that the nonlinear model is more capable of
explaining variations in small firm returns. 1993 The
American Finance Association},
Doi = {10.1111/j.1540-6261.1993.tb04753.x},
Key = {fds311138}
}
@article{fds311137,
Author = {BANSAL, R and HSIEH, DA and VISWANATHAN, S},
Title = {A New Approach to International Arbitrage
Pricing},
Journal = {The Journal of Finance},
Volume = {48},
Number = {5},
Pages = {1719-1747},
Publisher = {WILEY},
Year = {1993},
Month = {January},
ISSN = {0022-1082},
url = {http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1993MP99100006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=47d3190e77e5a3a53558812f597b0b92},
Abstract = {This paper uses a nonlinear arbitrage‐pricing model, a
conditional linear model, and an unconditional linear model
to price international equities, bonds, and forward currency
contracts. Unlike linear models, the nonlinear
arbitrage‐pricing model requires no restrictions on the
payoff space, allowing it to price payoffs of options,
forward contracts, and other derivative securities. Only the
nonlinear arbitrage‐pricing model does an adequate job of
explaining the time series behavior of a cross section of
international returns. 1993 The American Finance
Association},
Doi = {10.1111/j.1540-6261.1993.tb05126.x},
Key = {fds311137}
}
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