Long-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework

Material TypeArticleLanguageEnglish
TitleLong-Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework Author(S)JUN MA (Author)
Abstract  This paper investigates the empirical evidence of long-run risk and its implications for the equity premium puzzle. We find that the long-run risk model is generally weakly identified and that standard inferences tend to underestimate the uncertainty of long-run risk. We extend the LM-type test of Ma and Nelson (2010) that remains valid under weak identification to the bivariate VARMA-GARCH model of consumption and dividend growth. ...Paginationp 121-146
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Money, Credit, and Banking  
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