Risk premia in the consumption capital asset pricing model depend on preferences and dividends. We develop a … elasticity of a preference-based stochastic discount factor for pricing assets with respect to the consumption innovation … correlated with individual consumption. …

to fluctuations in wealth. 3. What kinds of shocks govern the dynamic behaviour of consumption, asset wealth and labour … income? We characterize three: a permanent income shock that affects consumption, asset wealth and labour earnings without … consumption adapt with a lag to permanent movements in wealth? Despite their quantitative importance, transitory fluctuations in …

one that produces a deviation from its shared trend with consumption and labor income. Using quarterly stock market data … behavior imply that the log consumption-aggregate (human and nonhuman) wealth ratio forecasts the expected return on aggregate … components may be expressed in terms of observable variables, namely in terms of consumption, nonhuman wealth and labor income …

market investment, and presents some new empirical evidence using a proxy for the log consumption-aggregate wealth ratio as a …

We develop a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend …