I characterize a dynamic economy under general distributions of households' risk tolerance, endowments, and beliefs … consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households' wealth … risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of …

We evaluate the empirical support for a broad class of long run risk models using information in factors extracted … formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one … that that the long run risk factor driving expected consumption growth is not recoverable from the cross section of excess …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …

profits across stock characteristics, season, and tax environment appear inconsistent with existing theory, but may point to …

depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …