Научный семинар Тимура Габуния (Nova School of Business and Economics): «Predictability in the Long Run Risks Model»

28 Марта прошел совместный научный семинар Международного института экономики и финансов и Международной лаборатории финансовой экономики по финансам.

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.