Economic research of the last decade linking macroeconomic fundamentals to asset prices has revealed evidence that standard intertemporal asset pricing theory is not successful in explaining (unconditional) first moments of asset market characteristics such as the risk free intrest rate, stock...

Economic research of the last decade linking macroeconomic fundamentals to asset prices has revealed evidence that standard intertemporal asset pricing theory is not successful in explaining (unconditional) ¯rst moments of asset market characteristics such as the risk-free interest rate, equity...

This paper estimates the parameters of a stochastic growth model with asset market and contrasts the model's moments with moments of the actual data. We solve the model through log-linearization along the line of Campbell (1994) [Journal of Monetary Economics 33(3), 463] and estimate the model...