We present a consumption-based international asset-pricing model to study global equity premiums, the US riskfree rate and the cross section of international asset returns. The model entails idiosyncratic, country-specific consumption risk, which helps explain the magnitude of global equity...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

This paper presents a consumption-based asset pricing model to explain the equity premium and riskfree puzzles as well as the predictability of returns in the international equity markets. We find that because the model entails idiosyncratic consumption risk which is higher than the aggregate...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...