The "Out of Sample" Performance of Long-run Risk Models

We are grateful to an anonymous referee, Ravi Bansal, Jason Beeler, David P. Brown, Dana Kiku, Ayse Imrohoroglu, Selahattin Imrohoroglu, Chris Jones, Sergei Sarkissian, Zhiguang Wang, Jianfeng Yu, Guofu Zhou, and to participants in workshops at the University of British Columbia, Claremont McKenna College, Florida International University, the University of California San Diego, the University of North Carolina Charlotte, University of Notre Dame, Ohio State University, the University of Oregon, the Oxford-Man Institute, Queens University, the University of Southern California, the University of Utah, and the University of Washington for discussions and comments. We are also grateful to participants at the 2010 Duke Asset Pricing Conference, the 2010 First World Finance Conference and the 2010 Conference on Financial Economics and Accounting. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.