feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation …, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20 …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks covary more with this … time-varying price of risk than value stocks, which covary more with shocks to cash flows. When the model is calibrated to …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

horizon predictability, and a low volatility of the risk free rate. The model combines a rich payoff structure with a habit …

All of asset-pricing theory currently stems from one key assumption: price equals expected discounted payoff. And much …

Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is … this phenomenon: a low risk premium increases the present value of performance gains and decreases the cost of holding an … illiquid investment. A panel of U.S. buyouts confirms this view. The risk premium shapes changes in buyout characteristics over …

, we ask what is, empirically, the best discounting method. To do this, we study listed firms, whose actual prices and … expected cash flows can be observed. We compare different discounting approaches on their ability to predict actual market … prices. We find that discounting based on expected returns (such as variants on the CAPM or multi-factor model), performs …