Research seminar by Tymur Gabuniya (Nova School of Business and Economics): «Predictability in the Long Run Risks Model»

March 28 at 4.40 pm, room 3211 (Shabolovka st., 26) International College of Economics and Finance and International Laboratore of Financial Economics held the Research Seminar in Finance.

Speaker: Tymur Gabuniya (Nova School of Business and Economics)
Theme: «Predictability in the Long Run Risks Model»
Venue:Shabolovka st. 26, building 3, room 3211

Abstract:I analyse predictability of returns by the dividend-price ratio in the long-run risks model of Bansal and Yaron (2004). I find that the model cannot generate predictability patterns consistently with the data. I connect this shortcoming to specific features of the long-run risks processes.