Amir Yaron

Bank of Israel

P.O. Box 780

Jerusalem, 91907

Israel

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

32

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8,967

SSRN CITATIONS
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1,427

CROSSREF CITATIONS

2,124

Scholarly Papers (32)

1.

Socially Responsible Investing in Good and Bad Times

Number of pages: 45 Posted: 25 Oct 2018 Last Revised: 25 Aug 2021
Ravi Bansal, Di (Andrew) Wu, Amir Yaron and Amir Yaron
Duke University and NBER, University of Michigan, Stephen M. Ross School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 1,429 (23,652)
Citation 5

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2.

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, Amir Yaron and Amir Yaron
Wharton School, Department of Finance and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 1,358 (25,467)
Citation 192

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

3.

Analyst Days, Stock Prices, and Firm Performance

Number of pages: 41 Posted: 18 Nov 2018
Di (Andrew) Wu, Amir Yaron and Amir Yaron
University of Michigan, Stephen M. Ross School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 608 (76,893)
Citation 1

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analyst days, market underreaction

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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 353 (145,506)

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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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 158 (317,857)

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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: 05 Aug 2022
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 54 (645,680)
Citation 8

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Asset Pricing Implications of Firms' Financing Constraints

Number of pages: 46 Posted: 20 Sep 2002
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 25 (858,908)
Citation 8
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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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and University of Rochester

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Time-Consistent No-Arbitrage Models of the Term Structure

Number of pages: 48 Posted: 27 Feb 2001
Amir Yaron, Amir Yaron and Michael W. Brandt
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 388 (130,863)
Citation 4

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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: 06 Nov 2022
Amir Yaron, Amir Yaron and Michael W. Brandt
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 62 (602,361)

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6.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 55 Posted: 28 Dec 2017 Last Revised: 21 Jul 2022
Vadim Elenev, Tzuo Hann Law, Dongho Song, Amir Yaron and Amir Yaron
Johns Hopkins Carey Business School, University of Pennsylvania, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 434 (115,955)
Citation 11

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Cyclical return variation, macroeconomic news announcements, monetary policy expectations, news decomposition.

7.
Downloads 427 (118,213)
Citation 9

The Risks of Safe Assets

Number of pages: 70 Posted: 13 Nov 2020 Last Revised: 24 Jul 2021
Yang Liu, Lukas Schmid, Amir Yaron and Amir Yaron
The University of Hong Kong - Faculty of Business and Economics, University of Southern California - Marshall School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 427 (117,013)
Citation 6

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Government debt, safe assets, liquidity premium, uncertainty, growth, fiscal costs, risk premia, credit spreads, cost of capital, unconventional stabilization policies

The Risks of Safe Assets

CEPR Discussion Paper No. DP16407
Number of pages: 73 Posted: 27 Sep 2021
Lukas Schmid, Yang Liu, Amir Yaron and Amir Yaron
University of Southern California - Marshall School of Business, The University of Hong Kong - Faculty of Business and Economics and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
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Citation 5
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fiscal costs, Government Debt, risk premia, safe assets

8.

The Term Structure of Equity Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 01 Dec 2019
Ravi Bansal, Amir Yaron, Amir Yaron, Shane Miller and Dongho Song
Duke University, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business, University of Michigan - Stephen M. Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 404 (126,032)
Citation 28

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Asset pricing, business cycle phases, dividend strips, equity term structure, regime switching

Futures Prices in a Production Economy with Investment Constraints

Number of pages: 37 Posted: 17 Feb 2004
Leonid Kogan, Dmitry Livdan, Amir Yaron and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 268 (194,545)
Citation 1

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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: 26 Dec 2022
Leonid Kogan, Dmitry Livdan, Amir Yaron and Amir Yaron
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California, Berkeley and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 80 (521,774)
Citation 5

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10.

How Risky are the U.S. Corporate Assets?

Number of pages: 83 Posted: 14 Apr 2020
Carnegie Mellon University - David A. Tepper School of Business, University of Pennsylvania - The Wharton School, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 333 (156,979)
Citation 2

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corporate assets, total payouts, net issuances, asset risk premium, cyclicality

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, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 235 (221,718)

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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: 04 Aug 2022
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 57 (628,901)
Citation 15

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Asset Prices and Business Cycles with Costly External Finance

Number of pages: 36 Posted: 06 Aug 2003
Joao F. Gomes, Amir Yaron, Amir Yaron and Lu Zhang
The Wharton School, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (897,499)
Citation 8
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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
Kjetil Storesletten, Chris Telmer, Amir Yaron and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 283 (184,060)
Citation 68

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Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Number of pages: 53 Posted: 06 Dec 2001
Kjetil Storesletten, Chris Telmer, Amir Yaron and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 28 (831,912)
Citation 88
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PSID, life-cycle effects

13.

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: 09 Jan 2022
Ravi Bansal, Amir Yaron and Amir Yaron
Duke University and NBER and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 258 (203,131)
Citation 387

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14.

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, Amir Yaron and Amir Yaron
Duke University and NBER, University of Minnesota - Carlson School of Management and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 219 (237,983)
Citation 3

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

Identifying Preference for Early Resolution from Asset Prices

Number of pages: 52 Posted: 07 Mar 2023
Hengjie Ai, Ravi Bansal, Hongye Guo, Amir Yaron and Amir Yaron
University of Wisconsin-Madison, Duke University and NBER, The University of Hong Kong - University of Hong Kong and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 165 (306,222)

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preference for early resolution of uncertainty, generalized risk sensitivity, macroeconomic announcements, volatility

Identifying Preference for Early Resolution from Asset Prices

NBER Working Paper No. w31087
Number of pages: 53 Posted: 03 Apr 2023 Last Revised: 11 Jun 2023
Hengjie Ai, Ravi Bansal, Hongye Guo, Amir Yaron and Amir Yaron
University of Wisconsin-Madison, Duke University and NBER, The University of Hong Kong - University of Hong Kong and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 15 (959,496)
Citation 1
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16.

Equity Capital: A Puzzle?

Sixteenth Annual Utah Winter Finance Conference
Number of pages: 41 Posted: 08 Nov 2006
Amir Yaron, Amir Yaron, Ravi Bansal and Ed Fang
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business, Duke University and NBER and affiliation not provided to SSRN
Downloads 180 (284,113)

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17.

Good and Bad Uncertainty: Macroeconomic and Financial Market Implications

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper , Journal of Financial Economics (JFE), Vol. 117, No. 2, 2015, Kenan Institute of Private Enterprise Research Paper No. 20-08
Number of pages: 69 Posted: 01 Dec 2015
Gill Segal, Ivan Shaliastovich, Amir Yaron and Amir Yaron
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 117 (401,245)
Citation 69

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18.

Risks for the Long Run: Estimation with Time Aggregation

NBER Working Paper No. w18305
Number of pages: 52 Posted: 18 Aug 2012 Last Revised: 09 Jul 2023
Ravi Bansal, Dana Kiku, Amir Yaron and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 110 (419,645)
Citation 33

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19.

The Term Structure of Equity Risk Premia

NBER Working Paper No. w25690
Number of pages: 51 Posted: 26 Mar 2019 Last Revised: 29 Jul 2022
Ravi Bansal, Shane Miller, Dongho Song, Amir Yaron and Amir Yaron
Duke University and NBER, University of Michigan - Stephen M. Ross School of Business, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 104 (436,846)
Citation 1

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20.

Volatility, the Macroeconomy and Asset Prices

Journal of Finance, Vol. 69, No. 6, 2014, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 67 Posted: 01 Dec 2014
Amir Yaron, Amir Yaron, Dana Kiku, Ivan Shaliastovich and Ravi Bansal
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Duke University
Downloads 94 (467,568)
Citation 56

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21.

Interpretable Asset Markets?

NBER Working Paper No. w9383
Number of pages: 40 Posted: 19 Dec 2002 Last Revised: 22 Aug 2022
Ravi Bansal, Varoujan Khatchatrian, Amir Yaron and Amir Yaron
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 94 (467,568)
Citation 28

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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, Amir Yaron and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 64 (592,581)
Citation 3

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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 Last Revised: 24 Jun 2023
Frank Schorfheide, Dongho Song, Amir Yaron and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 19 (917,556)
Citation 36

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23.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012 Last Revised: 21 Jun 2023
Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 87 (490,773)
Citation 22

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24.

Sources of Lifetime Inequality

NBER Working Paper No. w13224
Number of pages: 41 Posted: 03 Jul 2007 Last Revised: 21 Aug 2022
Mark Huggett, Gustavo Jaime Ventura, Amir Yaron and Amir Yaron
Georgetown University - Department of Economics, Pennsylvania State University, College of the Liberal Arts - Department of Economic and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 79 (519,954)
Citation 32

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25.

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: 14 May 2023
Ravi Bansal, Dana Kiku, Amir Yaron and Amir Yaron
Duke University and NBER, University of Illinois at Urbana-Champaign and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 71 (552,475)
Citation 130

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26.

Human Capital and Earnings Distribution Dynamics

NBER Working Paper No. w9366
Number of pages: 39 Posted: 06 Dec 2002 Last Revised: 06 Aug 2022
Mark Huggett, Gustavo Jaime Ventura, Amir Yaron and Amir Yaron
Georgetown University - Department of Economics, Pennsylvania State University, College of the Liberal Arts - Department of Economic and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 57 (617,749)
Citation 7

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27.

Consumption and Risk Sharing Over the Life Cycle

NBER Working Paper No. w7995
Number of pages: 46 Posted: 02 Nov 2000 Last Revised: 08 May 2022
Kjetil Storesletten, Chris Telmer, Amir Yaron and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 54 (633,478)
Citation 11

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28.

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: 22 Dec 2022
Kjetil Storesletten, Chris Telmer, Amir Yaron and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 48 (667,182)
Citation 5

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29.

How Well Do Banks Manage Their Reserves?

NBER Working Paper No. w9388
Number of pages: 31 Posted: 14 Dec 2002 Last Revised: 28 Aug 2022
Eduardo Jallath-Coria, Tridas Mukhopadhyay, Amir Yaron and Amir Yaron
Banco de Mexico, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 47 (673,194)

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30.

Monetary Policy during the Coronavirus Crisis Address to the Israel Economic Association Conference

Israel Economic Review, Vol. 18, No. 1 (2020)
Number of pages: 20 Posted: 27 Oct 2020
Amir Yaron and Amir Yaron
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 45 (685,404)

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31.

Are We Again Taking Financial Stability for Granted?

Israel Economic Review, Vol. 17, No. 1
Number of pages: 9 Posted: 15 Nov 2019
Amir Yaron and Amir Yaron
Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 35 (753,316)

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32.

Cyclical Dynamics in Idiosyncratic Labor Market Risk

Posted: 03 May 2004
Kjetil Storesletten, Chris Telmer, Amir Yaron and Amir Yaron
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business

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