Ravi Bansal is at Fuqua School of Business of Duke University and NBER. Dana Kiku is at College of Business of the University of Illinois at Urbana–Champaign. Ivan Shaliastovich is at The Wharton School of University of Pennsylvania. Amir Yaron is at The Wharton School of University of Pennsylvania and NBER. We thank David Backus (Acting Editor) and two anonymous referees for helpful comments as well as seminar participants at AFA 2012, EFA 2012, NBER Spring 2012 Asset-Pricing Meeting, CAPR workshop, CF-Penn-Tinbergen conference, 2012 ESSFM, 2012 Tel Aviv Finance Conference, Mitsui Finance symposium, NCMV at Madrid 2012, NYU-2011 Five Star conference, SED 2011, WFA 2012, Arizona State University, Boston College, Concordia University, Duke University, IDC, London School of Economics, MIT, The Wharton School, University of British Columbia, University of New South Wales, University of North Carolina, University of Sydney, University of Technology Sydney, University of Texas at Austin, Vanderbilt University, Washington University at St. Louis, and Yale University. Shaliastovich and Yaron thank the Rodney White Center for financial support.
Volatility, the Macroeconomy, and Asset Prices
Version of Record online: 10 NOV 2014
© 2014 the American Finance Association
The Journal of Finance
Volume 69, Issue 6, pages 2471–2511, December 2014
How to Cite
BANSAL, R., KIKU, D., SHALIASTOVICH, I. and YARON, A. (2014), Volatility, the Macroeconomy, and Asset Prices. The Journal of Finance, 69: 2471–2511. doi: 10.1111/jofi.12110
- Issue online: 10 NOV 2014
- Version of Record online: 10 NOV 2014
- Accepted manuscript online: 30 SEP 2013 12:00AM EST
- Manuscript Accepted: 24 JUL 2013
- Manuscript Received: 27 FEB 2012
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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