Amir Yaron

University of Pennsylvania -- Wharton School of Business

Professsor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 10,969

in Total Papers Downloads

3,489

CITATIONS
Rank 434

SSRN RANKINGS

Top 434

in Total Papers Citations

1,069

Scholarly Papers (20)

1.

What's Vol Got to Do With It

AFA 2009 San Francisco Meetings Paper
Number of pages: 63 Posted: 20 Mar 2008 Last Revised: 14 Dec 2011
Itamar Drechsler and Amir Yaron
New York University (NYU) - Department of Finance and University of Pennsylvania -- Wharton School of Business
Downloads 1,084 (14,084)
Citation 85

Abstract:

Return Predictability, Variance Premium, Long Run Risks, Stochastic Volatility, Jump Risks

Asset Pricing Implications of Firms' Financing Constraints

Simon Business School Working Paper No. 03-21; AFA 2003 Washington, DC Meetings; Twelfth Annual Utah Winter Finance Conference
Number of pages: 58 Posted: 17 Oct 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 312 (77,842)
Citation 48

Abstract:

Asset Pricing Implications of Firms' Financing Constraints

Review of Financial Studies, August 2005
Number of pages: 43 Posted: 06 Dec 2005
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 118 (196,216)
Citation 48

Abstract:

Financing constraints, production-based asset pricing, structural estimation, cyclicality, the cross-section of returns

Asset Pricing Implications of Firms' Financing Constraints

CEPR Discussion Paper No. 3495
Number of pages: 46 Posted: 20 Sep 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (427,985)
Citation 48

Abstract:

Production based asset pricing, financing constraints, financing premium

Asset Pricing Implications of Firms' Financing Constraints

NBER Working Paper No. w9365
Number of pages: 58 Posted: 06 Dec 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 24 (433,454)
Citation 48

Abstract:

Asset Pricing Implications of Firms' Financing Constraints

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1321-1356, 2006
Posted: 29 Feb 2008
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and University of Rochester

Abstract:

Time-Consistent No-Arbitrage Models of the Term Structure

Eleventh Annual Utah Winter Conference
Number of pages: 48 Posted: 27 Feb 2001
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 338 (71,036)
Citation 11

Abstract:

Time-Consistent No-Arbitrage Models of the Term Structure

NBER Working Paper No. w9458
Number of pages: 38 Posted: 31 Jan 2003
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 36 (377,788)
Citation 11

Abstract:

Futures Prices in a Production Economy with Investment Constraints

Number of pages: 37 Posted: 17 Feb 2004
Leonid Kogan, Dmitry Livdan and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and University of Pennsylvania -- Wharton School of Business
Downloads 242 (102,878)
Citation 19

Abstract:

Futures, investment contraints, production economy, SMM

Futures Prices in a Production Economy with Investment Constraints

NBER Working Paper No. w11509
Number of pages: 48 Posted: 13 Sep 2005
Leonid Kogan, Dmitry Livdan and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and University of Pennsylvania -- Wharton School of Business
Downloads 62 (296,520)
Citation 19

Abstract:

Asset Prices and Business Cycles with Costly External Finance

Simon School of Business Working Paper No. FR 02-18
Number of pages: 34 Posted: 28 Dec 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 203 (122,699)
Citation 20

Abstract:

Costly External Finance, Business Cycles, Default Premium

Asset Prices and Business Cycles with Costly External Finance

NBER Working Paper No. w9364
Number of pages: 34 Posted: 06 Dec 2002
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 32 (394,126)
Citation 20

Abstract:

Asset Prices and Business Cycles with Costly External Finance

CEPR Discussion Paper No. 3927
Number of pages: 36 Posted: 06 Aug 2003
Joao F. Gomes, Amir Yaron and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (450,572)
Citation 20

Abstract:

Financial accelerator, business cycles, asset prices

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Universitat Pompeu Fabra Working Paper No. 405
Number of pages: 63 Posted: 19 Apr 2000
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 216 (115,389)
Citation 92

Abstract:

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

CEPR Discussion Paper No. 3065
Number of pages: 53 Posted: 06 Dec 2001
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 28 (412,545)
Citation 92

Abstract:

PSID, life-cycle effects

7.

Equity Capital: A Puzzle?

Sixteenth Annual Utah Winter Finance Conference
Number of pages: 41 Posted: 08 Nov 2006
Amir Yaron, Ravi Bansal and Ed Fang
University of Pennsylvania -- Wharton School of Business, Duke University and NBER and affiliation not provided to SSRN
Downloads 132 (156,912)
Citation 6

Abstract:

8.

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

NBER Working Paper No. w8059
Number of pages: 43 Posted: 15 Dec 2000
Ravi Bansal and Amir Yaron
Duke University and NBER and University of Pennsylvania -- Wharton School of Business
Downloads 100 (169,035)
Citation 512

Abstract:

9.

Interpretable Asset Markets?

NBER Working Paper No. w9383
Number of pages: 40 Posted: 19 Dec 2002
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and University of Pennsylvania -- Wharton School of Business
Downloads 49 (310,580)
Citation 49

Abstract:

10.

Sources of Lifetime Inequality

NBER Working Paper No. w13224
Number of pages: 41 Posted: 03 Jul 2007
Georgetown University - Department of Economics, Pennsylvania State University, College of the Liberal Arts - Department of Economic and University of Pennsylvania -- Wharton School of Business
Downloads 46 (324,777)
Citation 20

Abstract:

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

FRB of Philadelphia Working Paper No. 13-39
Number of pages: 53 Posted: 29 Sep 2013
Frank Schorfheide, Dongho Song and Amir Yaron
University of Pennsylvania - Department of Economics, Boston College - Department of Economics and University of Pennsylvania -- Wharton School of Business
Downloads 36 (377,788)

Abstract:

Consumption (Economics), Bayesian Estimates

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

NBER Working Paper No. w20303
Number of pages: 57 Posted: 24 Jul 2014
Frank Schorfheide, Dongho Song and Amir Yaron
University of Pennsylvania - Department of Economics, Boston College - Department of Economics and University of Pennsylvania -- Wharton School of Business
Downloads 2 (557,860)

Abstract:

12.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and University of Pennsylvania -- Wharton School of Business
Downloads 35 (342,853)
Citation 16

Abstract:

13.

How Well Do Banks Manage Their Reserves?

NBER Working Paper No. w9388
Number of pages: 31 Posted: 14 Dec 2002
Banco de Mexico, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 28 (373,316)
Citation 2

Abstract:

14.

The Welfare Cost of Business Cycles Revisited: Finite Lives and Cyclical Variation in Idiosyncratic Risk

NBER Working Paper No. w8040
Number of pages: 32 Posted: 11 Dec 2000
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 27 (384,839)
Citation 36

Abstract:

15.

Consumption and Risk Sharing Over the Life Cycle

NBER Working Paper No. w7995
Number of pages: 46 Posted: 02 Nov 2000
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 27 (384,839)
Citation 100

Abstract:

16.

Human Capital and Earnings Distribution Dynamics

NBER Working Paper No. w9366
Number of pages: 39 Posted: 06 Dec 2002
Georgetown University - Department of Economics, Pennsylvania State University, College of the Liberal Arts - Department of Economic and University of Pennsylvania -- Wharton School of Business
Downloads 25 (406,277)
Citation 19

Abstract:

17.

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

NBER Working Paper No. w15504
Number of pages: 38 Posted: 17 Nov 2009
Ravi Bansal, Dana Kiku and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign and University of Pennsylvania -- Wharton School of Business
Downloads 22 (406,277)
Citation 26

Abstract:

18.

Risks for the Long Run: Estimation with Time Aggregation

NBER Working Paper No. w18305
Number of pages: 52 Posted: 18 Aug 2012
Ravi Bansal, Dana Kiku and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign and University of Pennsylvania -- Wharton School of Business
Downloads 6 (472,321)
Citation 6

Abstract:

19.

Equilibrium Wealth Share Dynamics

Number of pages: 51 Posted: 04 May 2017
Ravi Bansal, Colin Ward and Amir Yaron
Duke University and NBER, University of Minnesota - Carlson School of Management and University of Pennsylvania -- Wharton School of Business
Downloads 0 (324,777)

Abstract:

Portfolio Allocation, Hedging Demand, Asset Pricing, Production, Equity Markets, Housing

20.

Cyclical Dynamics in Idiosyncratic Labor Market Risk

Journal of Political Economy, Vol. 112, pp. 695-717, June 2004
Posted: 03 May 2004
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business

Abstract: