that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this …Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …

policy uncertainty affects household consumption and stock prices. The model implies that the government should avoid policy …

In this paper we study the role of household portfolio rebalancing channel for the aggregate and redistributive effects … subsequent wealth effect on consumption. In order to jointly study these effects, we introduce an heterogeneous household life … reduction in expected return on household portfolio. However, the strength of these two forces notably varies depending on …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset …

the unconditional cross-sectional moments of household consumption growth and the moments of the risk free rate, equity …-dividend ratio are pro-cyclical while the market return has countercyclical mean and variance. Finally, household consumption risk …We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and …