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Amir Yaron
Researcher at University of Pennsylvania
Publications - 89
Citations - 14635
Amir Yaron is an academic researcher from University of Pennsylvania. The author has contributed to research in topics: Capital asset pricing model & Volatility (finance). The author has an hindex of 37, co-authored 88 publications receiving 13753 citations. Previous affiliations of Amir Yaron include Bank of Israel & National Bureau of Economic Research.
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Ravi Bansal,Amir Yaron +1 more
TL;DR: In this article, the authors show that news about growth rates significantly alter agent's perceptions regarding long run expected growth rates and growth rate uncertainty, which leads to a large equity risk premium, low risk free interest rate, and large market volatility.
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Ravi Bansal,Amir Yaron +1 more
TL;DR: The authors model consumption and dividend growth rates as containing a small long-run predictable component, and fluctuating economic uncertainty (consumption volatility), for which they provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena.
Book
Finite sample properties of some alternative GMM estimators
TL;DR: In this article, the authors investigate the small-sample properties of three alternative generalized method of moments (GMM) estimators of asset-pricing models and assess the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion functions.
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Cyclical Dynamics in Idiosyncratic Labor Market Risk
TL;DR: The authors developed a generalized method of moments estimator that conditions on the macroeconomic history that each member of the panel has experienced, and implemented this estimator using household-level labor earnings data from the Panel Study of Income Dynamics.
Posted Content
Consumption and Risk Sharing Over the Life Cycle
TL;DR: This article found that uncertainty distributed throughout the working years accounts for 40 percent of life time uncertainty, with the remainder being realized prior to entering the labor market and the shocks received over the life cycle contain a highly persistent component, with an autocorrelation coefficient between 0.98 and unity.