This paper analyzes the empirical relations between equity premia and state-dependent consumption and market risks. These relations are derived from a flexible specification of the CCAPM with mixture distribution, which admits the existence of two regimes. Focusing on the market return, we find...

For the first time in the literature, this paper extends the CCAPM to establish the empirical relations between equity premia and state-dependent consumption and market risks. These relations are derived from a flexible, yet tractable, mixture distribution admitting the existence of two regimes,...

This paper analyzes the empirical relations between equity premia and state-dependent consumption and market risks. These relations are derived from a flexible specification of the CCAPM with mixture distribution, which admits the existence of two regimes. Focusing on the market return, we find...