Recent work by Bansal and Yaron (2004) on Long Run Risks suggests that these fundamental economic risks can account for key features of asset market data. In this paper we develop methods to estimate their equilibrium model by exploiting the asset pricing Euler Equations. Using an empirical estimate for the long run risk component we demonstrate that the Long Run Risk model can indeed capture a rich array of asset returns. The model, at plausible preference estimates, can account for the market as well as the ‘value’and ‘size’premium. We show that time averaging effects—that is, a mismatch in the sampling and the agent’s decision interval leads to significant biases in the estimates for risk aversion and the elasticity of intertemporal substitution. Our evidence suggests that accounting for these biases is important for interpreting the magnitudes of the preference parameters and the economic implications of the model for asset prices.