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

24

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4,480

CITATIONS
Rank 1,259

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Top 1,259

in Total Papers Citations

309

Scholarly Papers (24)

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
Wharton School, Department of Finance and University of Pennsylvania -- Wharton School of Business
Downloads 1,229 (15,619)
Citation 241

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 320 (92,173)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 124 (225,456)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 26 (495,378)

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Asset Pricing Implications of Firms' Financing Constraints

CEPR Discussion Paper No. 3495
Number of pages: 46 Posted: 20 Sep 2002
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (501,426)
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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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 344 (84,971)
Citation 1

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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 38 (436,272)

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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 245 (122,665)

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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 64 (345,317)
Citation 27

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 212 (141,625)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 33 (458,406)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (526,282)
Citation 39
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Financial accelerator, business cycles, asset prices

6.

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 258 (116,792)

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analyst days, market underreaction

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 227 (132,473)
Citation 67

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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
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 (483,995)
Citation 61
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PSID, life-cycle effects

8.

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 206 (145,742)
Citation 2

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9.

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 167 (176,324)
Citation 1,285

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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 165 (178,169)
Citation 5

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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 159 (183,865)
Citation 2

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

12.

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 157 (185,785)
Citation 1

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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
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and University of Pennsylvania -- Wharton School of Business
Downloads 61 (349,265)
Citation 88

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14.

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 56 (364,135)
Citation 95

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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 46 (404,295)
Citation 2

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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 8 (611,989)
Citation 26

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16.

Sources of Lifetime Inequality

NBER Working Paper No. w13224
Number of pages: 41 Posted: 03 Jul 2007 Last Revised: 21 Aug 2010
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 53 (373,523)
Citation 110

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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
Banco de Mexico, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 36 (435,028)

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18.

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
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 36 (435,028)
Citation 104

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19.

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 34 (443,335)
Citation 173

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20.

Human Capital and Earnings Distribution Dynamics

NBER Working Paper No. w9366
Number of pages: 39 Posted: 06 Dec 2002 Last Revised: 30 Oct 2010
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 34 (443,335)
Citation 40

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21.

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
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 34 (443,335)
Citation 54

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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 19 (520,788)
Citation 37

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23.

The Term Structure of Equity Risk Premia

NBER Working Paper No. w25690
Number of pages: 51 Posted: 26 Mar 2019
Duke University and NBER, Duke University, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 15 (543,975)
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24.

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

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