Long Run Risks & Price/Dividend Ratio Factors
---- Acknowledgements -----
We would like to thank Ravi Bansal, Dana Kiku, Ernst Schaumburg, Jonathan Parker, Robert Korajczyk, Annette Vissing-Jørgensen, Arvind Krishnamurthy, Tatjana Xenia-Puhan, Bernard Dumas, seminar participants at INSEAD, the City University of Hong Kong, the Indian School of Business and the Western Finance Association 2011 Annual Meeting for their valuable comments and suggestions. An earlier version of the paper that appeared under the title, "Long run risks, the factor structure of price dividend ratios and the cross section of stock returns". The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.