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

  • University of Pennsylvania -- Wharton School of Business

    • Email
    • Tel: 215-898-1241
    • Fax: 215-898-6200

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

23

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CITATIONS
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1,082

Scholarly Papers (23)

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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 1,217 (15,099)
Citation 89

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

2.

Asset Pricing Implications of Firms' Financing Constraints

Downloads 487 ( 54,158)
Citation 47

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, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 316 (89,653)
Citation 47

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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, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 121 (222,421)
Citation 47

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

Asset Pricing Implications of Firms' Financing Constraints

NBER Working Paper No. w9365
Number of pages: 58 Posted: 06 Dec 2002 Last Revised: 30 Oct 2010
Joao F. Gomes, Amir Yaron and Lu Zhang, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (483,102)
Citation 47

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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, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (483,102)
Citation 47
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Production based asset pricing, financing constraints, financing premium

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

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3.

Time-Consistent No-Arbitrage Models of the Term Structure

Downloads 379 ( 73,288)
Citation 11

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 342 (81,941)
Citation 11

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Time-Consistent No-Arbitrage Models of the Term Structure

NBER Working Paper No. w9458
Number of pages: 38 Posted: 31 Jan 2003 Last Revised: 10 Feb 2003
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 37 (424,500)
Citation 11

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4.

Futures Prices in a Production Economy with Investment Constraints

Downloads 307 ( 93,550)
Citation 19

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 244 (118,875)
Citation 19

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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 Last Revised: 20 Aug 2009
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 63 (335,389)
Citation 19

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5.

Asset Prices and Business Cycles with Costly External Finance

Downloads 262 (110,383)
Citation 21

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, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 209 (137,912)
Citation 21

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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 Last Revised: 30 Oct 2010
Joao F. Gomes, Amir Yaron and Lu Zhang, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 32 (446,295)
Citation 21

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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, 张橹
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (507,229)
Citation 21
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Financial accelerator, business cycles, asset prices

6.

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Downloads 253 (115,011)
Citation 93

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Universitat Pompeu Fabra Working Paper No. 405
Number of pages: 63 Posted: 19 Apr 2000
Kjetil Storesletten, Chris Telmer and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 225 (128,914)
Citation 93

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Asset Pricing with Idiosyncratic Risk and Overlapping Generations

CEPR Discussion Paper No. 3065
Number of pages: 53 Posted: 06 Dec 2001
Kjetil Storesletten, Chris Telmer and Amir Yaron
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 (466,350)
Citation 93
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PSID, life-cycle effects

7.

Analyst Days, Stock Prices, and Firm Performance

Number of pages: 41 Posted: 18 Nov 2018
Di (Andrew) Wu and Amir Yaron
University of Michigan, Stephen M. Ross School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 161 (176,814)

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analyst days, market underreaction

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 Last Revised: 20 Oct 2010
Ravi Bansal and Amir Yaron
Duke University and NBER and University of Pennsylvania -- Wharton School of Business
Downloads 157 (178,673)
Citation 515

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9.

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 156 (179,625)
Citation 6

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10.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 54 Posted: 28 Dec 2017 Last Revised: 06 May 2018
Tzuo Hann Law, Dongho Song and Amir Yaron
University of Pennsylvania, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 145 (191,959)

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Macroeconomic news announcements, cyclical return variation, interest rate expectations, phase of business cycle, output gap, return decomposition.

11.

Shifts in Sectoral Wealth Shares and Risk Premia: What Explains Them?

Number of pages: 55 Posted: 04 May 2017 Last Revised: 27 Nov 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 141 (195,259)

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

12.

Is Socially Responsible Investing A Luxury Good?

Number of pages: 37 Posted: 25 Oct 2018
Ravi Bansal, Di (Andrew) Wu and Amir Yaron
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 134 (203,440)

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13.

Interpretable Asset Markets?

NBER Working Paper No. w9383
Number of pages: 40 Posted: 19 Dec 2002 Last Revised: 31 Oct 2010
Ravi Bansal, Varoujan Khatchatrian and Amir Yaron
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and University of Pennsylvania -- Wharton School of Business
Downloads 60 (339,279)
Citation 48

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14.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012
Ravi Bansal, Dana Kiku, Ivan Shaliastovich and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and University of Pennsylvania -- Wharton School of Business
Downloads 53 (360,066)
Citation 16

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15.

Sources of Lifetime Inequality

NBER Working Paper No. w13224
Number of pages: 41 Posted: 03 Jul 2007 Last Revised: 21 Aug 2010
Mark Huggett, Gustavo Jaime Ventura and Amir Yaron
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 51 (366,188)
Citation 20

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16.

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

Downloads 47 (379,174)

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, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 42 (404,229)

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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, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 5 (606,924)

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17.

How Well Do Banks Manage Their Reserves?

NBER Working Paper No. w9388
Number of pages: 31 Posted: 14 Dec 2002 Last Revised: 31 Oct 2010
Eduardo Jallath-Coria, Tridas Mukhopadhyay and Amir Yaron
Banco de Mexico, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 35 (423,374)
Citation 2

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18.

Human Capital and Earnings Distribution Dynamics

NBER Working Paper No. w9366
Number of pages: 39 Posted: 06 Dec 2002 Last Revised: 30 Oct 2010
Mark Huggett, Gustavo Jaime Ventura and Amir Yaron
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 33 (431,393)
Citation 19

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19.

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 Last Revised: 02 Apr 2001
Kjetil Storesletten, Chris Telmer and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 33 (431,393)
Citation 36

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20.

Consumption and Risk Sharing Over the Life Cycle

NBER Working Paper No. w7995
Number of pages: 46 Posted: 02 Nov 2000 Last Revised: 25 Jun 2001
Kjetil Storesletten, Chris Telmer and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 33 (431,393)
Citation 100

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21.

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 Last Revised: 19 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 30 (444,487)
Citation 26

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22.

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 18 (507,492)
Citation 7

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23.

Cyclical Dynamics in Idiosyncratic Labor Market Risk

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

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