particular explanation: a fall in macroeconomic risk, or the volatility of the aggregate economy. We estimate a two-state regime … switching model for the volatility and mean of consumption growth, and find evidence of a shift to substantially lower … consumption volatility at the beginning of the 1990s. We then show that there is a strong and statistically robust correlation …

volatility of excess stock market returns, often referred to as the risk-return relation. Unfortunately, the body of empirical … the relatively small amount of conditioning information used to model the conditional mean and conditional volatility of … conditioning variables, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself …

We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with … generates little variation in stock return volatility at the market level but significant variation at the individual firm level … stock return volatility at the market and firm level. In such an economy, financial leverage has little effect on the …