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

32

DOWNLOADS
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Top 9,772

in Total Papers Downloads

5,857

SSRN CITATIONS
Rank 291

SSRN RANKINGS

Top 291

in Total Papers Citations

728

CROSSREF CITATIONS

2,127

Scholarly Papers (32)

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 1,271 (18,856)
Citation 139

Abstract:

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

2.

Is Socially Responsible Investing A Luxury Good?

Number of pages: 44 Posted: 25 Oct 2018 Last Revised: 18 Sep 2019
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 566 (58,114)
Citation 5

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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 325 (111,393)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 128 (265,744)

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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
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 28 (578,773)

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Asset Pricing Implications of Firms' Financing Constraints

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 (599,130)
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 and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and University of Rochester

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4.

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 412 (85,627)

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analyst days, market underreaction

Time-Consistent No-Arbitrage Models of the Term Structure

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 351 (102,123)
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: 07 May 2021
Amir Yaron and Michael W. Brandt
University of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business
Downloads 40 (512,160)

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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 250 (146,815)
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: 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 68 (401,148)
Citation 5

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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
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 214 (170,703)

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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: 01 Feb 2021
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 35 (537,775)
Citation 1

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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 and Lu Zhang
The Wharton School, University of Pennsylvania -- Wharton School of Business and Ohio State University - Fisher College of Business
Downloads 21 (627,937)
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
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 234 (156,605)
Citation 75

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Asset Pricing with Idiosyncratic Risk and Overlapping Generations

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 (578,773)
Citation 70
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PSID, life-cycle effects

9.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 44 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 242 (152,147)
Citation 5

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

10.

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 194 (187,350)
Citation 118

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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 181 (199,300)
Citation 3

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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 162 (219,123)

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13.

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
Duke University, University of Pennsylvania -- Wharton School of Business, University of Michigan - Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 157 (225,061)
Citation 4

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

14.

The Risks of Safe Assets

Number of pages: 64 Posted: 13 Nov 2020
Yang Liu, Lukas Schmid and Amir Yaron
The University of Hong Kong - Faculty of Business and Economics, University of Southern California - Marshall School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 108 (299,215)
Citation 2

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

15.

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 University of Pennsylvania -- Wharton School of Business
Downloads 103 (309,052)

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

16.

Interpretable Asset Markets?

NBER Working Paper No. w9383
Number of pages: 40 Posted: 19 Dec 2002 Last Revised: 21 Feb 2021
Duke University and NBER, Duke University, Fuqua School of Business-Economics Group and University of Pennsylvania -- Wharton School of Business
Downloads 66 (402,508)
Citation 16

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17.

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 65 (405,731)
Citation 20

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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 52 (458,841)
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 10 (713,915)
Citation 36

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19.

Sources of Lifetime Inequality

NBER Working Paper No. w13224
Number of pages: 41 Posted: 03 Jul 2007 Last Revised: 19 Feb 2021
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 59 (425,925)
Citation 32

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20.

Fearing the Fed: How Wall Street Reads Main Street

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 44 Posted: 30 Nov 2019
Amir Yaron, Tzuo Hann Law and Dongho Song
University of Pennsylvania -- Wharton School of Business, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School
Downloads 56 (436,505)

Abstract:

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Macroeconomic news announcements, cyclical return variation, monetary policy expectations, business cycle, news decomposition, risk premium

21.

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
University of Pennsylvania -- Wharton School of Business, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Duke University
Downloads 56 (436,505)
Citation 19

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22.

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 and Amir Yaron
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Wisconsin - Madison and University of Pennsylvania -- Wharton School of Business
Downloads 50 (459,025)
Citation 16

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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 Last Revised: 13 Mar 2021
Duke University and NBER, University of Michigan - Ross School of Business, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 44 (483,856)
Citation 1

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24.

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 39 (506,198)
Citation 81

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25.

Human Capital and Earnings Distribution Dynamics

NBER Working Paper No. w9366
Number of pages: 39 Posted: 06 Dec 2002 Last Revised: 04 Feb 2021
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 39 (506,198)
Citation 7

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26.

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 2021
University of Oslo - Department of Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 39 (506,198)
Citation 11

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27.

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 37 (515,526)
Citation 19

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28.

How Well Do Banks Manage Their Reserves?

NBER Working Paper No. w9388
Number of pages: 31 Posted: 14 Dec 2002 Last Revised: 26 Feb 2021
Banco de Mexico, Carnegie Mellon University - David A. Tepper School of Business and University of Pennsylvania -- Wharton School of Business
Downloads 37 (515,526)

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29.

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 37 (515,526)
Citation 5

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30.

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
University of Pennsylvania -- Wharton School of Business
Downloads 18 (628,391)

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31.

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
University of Pennsylvania -- Wharton School of Business
Downloads 10 (686,486)

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32.

Cyclical Dynamics in Idiosyncratic Labor Market Risk

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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