Investor Information, Long-Run Risk, and the Term Structure of Equity
NBER Working Paper No. 12912
---- Acknowledgements ----
Previously circulated as "Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows." This material is based upon work supported by the National Science Foundation under Grant No. 0617858 to Lettau and Ludvigson. Ludvigson also acknowledges financial support from the Alfred P. Sloan Foun- dation and the CV Starr Center at NYU. The authors thank Dave Backus, John Y. Campbell, Timothy Cogley, Michael Gallmeyer, Lars Hansen, John Heaton, Dana Kiku, Thomas Sargent, Jay Shanken, Stijn Van Nieuwerburgh and seminar participants at the 2006 Society for Economic Dynamics conference, the summer 2006 NBER Asset Pricing meeting, the Western Finance Association 2007 meetings, the American Finance 2009 meetings, Emory, NYU, Texas A&M, UCLA, and UNC Chapel Hill for helpful comments. Any errors or omissions are the responsibility of the authors. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.