returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are …

risk-free interest rates. In fact, when the model is calibrated to U.S. consumption growth data, average risk premia and … is on a rational learning path concerning the real consumption growth process can generate high equity premia and low … levels of risk aversion. Even ruling out pessimistic beliefs, recursive learning inflates the equity premium without …

from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong …