mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … Bansal, Kiku, and Yaron (BKY, 2007a). BY's calibration counterfactually implies that long-run consumption and dividend growth … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

consumption is large and greater than the wealth effect on consumption from stock holdings. Recent theoretical work, in contrast …, argues that changes in housing wealth are offset by changes in housing consumption, meaning that unexpected shocks in housing … wealth should have little effect on non-housing consumption. We reexamine the impact of housing wealth on non …

aggregate consumption. The price-dividend ratio of this claim is the wealth-consumption ratio. Our estimates indicate that total … wealth is much safer than stock market wealth. The consumption risk premium is only 2.2 percent, substantially below the …

appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … cycle. Much recentwork emphasizes the joint nature of the consumption decision and the portfolio allocation decision. In … this paper, we compare two formulations of the Capital Asset Pricing Model. The traditional CAPM suggests that the …

pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in …

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset … consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to …