Following the textbook C-CAPM, the consumption risk of an asset is typically measured as the contemporaneous covariance … central insight of the C-CAPM - that consumption risk determines returns - but take the model less literally by allowing the … of the marginal utility of consumption and the return on that asset. When measured this way, consumption risk is too …

data on both the aggregate stock market and aggregate labor income. The paper finds that aggregate stock market risk is the … main factor determining excess stock and bond returns, but that the price of stock market risk does not equal the … coefficient of relative risk aversion as would be implied by the static Capital Asset Pricing Model …

return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas …

labor income risk, calibrating a (wrong) representative agent model results in overstating the equilibrium riskfree rate and … in understanding the equilibrium equity premium if the utility function exhibits decreasing absolute risk aversion and … advanced conjecture that non-traded risk contributes to the solution of the riskfree rate and equity premium puzzles …

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish … short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the … propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from …

risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than … higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international equity …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a … heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a …

value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because … with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …