Price Dividend Ratio Factors : Proxies for Long Run Risk
---- Acknowledgements -----
We would like to thank Ravi Bansal, George Constantinides, Du Du, Dana Kiku, Ernst Schaumburg, Jonathan Parker, Robert Korajczyk, Annette Vissing-J rgensen, Arvind Krishnamurthy, Tatjana Xenia-Puhan, Bernard Dumas, seminar participants at INSEAD, the City University of Hong Kong, the Indian School of Business, the Western Finance Association 2011 Annual Meeting, and the 2012 City University International Conference on Corporate Finance for their valuable comments and suggestions. Earlier versions of the paper appeared under the titles "Long run risks, the factor structure of price dividend ratios and the cross section of stock returns" and "Long run risks and P/D factors". The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.