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The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models

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  • Jianfeng Yu

    (University of Minnesota)

Abstract

expected returns to the cyclical fluctuations in consumption. The models by Bansal and Yaron (2004) and Panageas and Yu (2005) provide examples of such models.

Suggested Citation

  • Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:56
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    References listed on IDEAS

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