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
Rank 9,699

SSRN RANKINGS

Top 9,699

in Total Papers Downloads

6,054

SSRN CITATIONS
Rank 282

SSRN RANKINGS

Top 282

in Total Papers Citations

845

CROSSREF CITATIONS

2,110

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 1,274 (19,338)
Citation 142

Abstract:

Loading...

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 629 (52,229)
Citation 5

Abstract:

Loading...

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 326 (113,596)

Abstract:

Loading...

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 129 (269,769)

Abstract:

Loading...

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 29 (583,860)

Abstract:

Loading...

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 (611,027)
Citation 8
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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 428 (83,850)

Abstract:

Loading...

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 352 (104,184)
Citation 4

Abstract:

Loading...

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 41 (517,212)

Abstract:

Loading...

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 251 (149,489)
Citation 1

Abstract:

Loading...

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 (409,152)
Citation 5

Abstract:

Loading...

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 215 (173,794)

Abstract:

Loading...

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 (548,406)
Citation 6

Abstract:

Loading...

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 (640,314)
Citation 8
  • Add to Cart

Abstract:

Loading...

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 238 (157,431)
Citation 76

Abstract:

Loading...

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 (590,477)
Citation 72
  • Add to Cart

Abstract:

Loading...

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 253 (148,879)
Citation 9

Abstract:

Loading...

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 196 (189,708)
Citation 158

Abstract:

Loading...

11.

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 194 (191,470)
Citation 4

Abstract:

Loading...

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

12.

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 183 (201,659)
Citation 3

Abstract:

Loading...

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

13.

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 163 (222,739)

Abstract:

Loading...

14.

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 109 (303,347)

Abstract:

Loading...

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

15.

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 (410,570)
Citation 16

Abstract:

Loading...

16.

Volatility, the Macroeconomy and Asset Prices

NBER Working Paper No. w18104
Number of pages: 54 Posted: 25 May 2012 Last Revised: 02 Jul 2021
Duke University and NBER, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and University of Pennsylvania -- Wharton School of Business
Downloads 65 (413,806)
Citation 17

Abstract:

Loading...

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 (467,862)
Citation 3

Abstract:

Loading...

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 2021
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 11 (720,074)
Citation 36

Abstract:

Loading...

18.

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 62 (423,823)

Abstract:

Loading...

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

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 (434,373)
Citation 32

Abstract:

Loading...

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
University of Pennsylvania -- Wharton School of Business, University of Illinois at Urbana-Champaign, University of Wisconsin - Madison and Duke University
Downloads 56 (445,236)
Citation 31

Abstract:

Loading...

21.

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 52 (460,149)
Citation 1

Abstract:

Loading...

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 51 (464,132)
Citation 22

Abstract:

Loading...

23.

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 2021
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 40 (511,408)
Citation 21

Abstract:

Loading...

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: 14 May 2021
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 (516,033)
Citation 90

Abstract:

Loading...

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 (516,033)
Citation 7

Abstract:

Loading...

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 (516,033)
Citation 11

Abstract:

Loading...

27.

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: 21 Jun 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 38 (520,845)
Citation 5

Abstract:

Loading...

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 (525,651)

Abstract:

Loading...

29.

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 19 (634,091)

Abstract:

Loading...

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
University of Pennsylvania -- Wharton School of Business
Downloads 12 (685,265)

Abstract:

Loading...

31.

The Risks of Safe Assets

Number of pages: 70 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 130

Abstract:

Loading...

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

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

Abstract:

Loading...