using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which … risk aversion can be modified without altering intertemporal substitution. We characterize the impact of changing the … intertemporal substitution and risk aversion parameters on equilibrium short-run and long-run risk prices and on equilibrium wealth. …

We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations … in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but …

embrace a broad perspective of uncertainty with three components: risk (probabilities assigned by a given model), ambiguity …

examples featuring consumption externalities, recursive utility, and jump risk …

featuring consumption externalities, recursive utility, and jump risk …

the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral … observational implications of risk adjustments and investor beliefs as reflected in asset market data; ii) catalog alternative forms … of misspecification of parametric valuation models; and iii) characterize how long-term components of growth-rate risk …