but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and … reduce the risk-free interest rate for low levels of risk aversion. The key condition for these results to obtain is the … our artificial economy cannot generate asset returns matching the empirical evidence for any positive relative risk …

returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended … to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a … wide range of models: CAPM, quadratic CAPM, C‐CAPM, Carhart’s 4‐factor model, an extended C‐CAPM with durable consumption …

interpretation of the value premium also sheds light on the puzzling empirical relation between the stock market risk and return …

technologies. In an economy with aggregate risk, the different portfolio choices induced by heterogeneous trading technologies lead … with a reasonable low risk aversion rate, the business cycle costs 6.49% per period consumption for an average household … when I calibrate this model to match the risk premium. …

factor and risk-neutral probability measure to become path-dependent and introduces serial correlation and volatility …