This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all...

The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of portfolios mimicking size and industry with varying dimensions. The first set consists of three...

Investors are interested in receiving the highest return on a portfolio, subject on some constraint in the risk involved. The Capital Asset Pricing Model (CAPM) is a linear model of the form: rs = α βrm ε, where rs, rm, are the returns of a particular security (s) and of the market as a whole...

This paper studies the asset pricing implications of a firm's opportunities to replace routine-task labor with automation. I develop a model in which firms optimally undertake this replacement when their productivity is low. Hence, firms with routine-task labor maintain a replacement option that...

I examine the asset pricing implications of technological innovations that allow capital to displace labor: automation. I develop a theory in which firms with high share of displaceable labor are negatively exposed to such technology shocks. In the model, firms optimally adopt technology to gain...