Do parameter uncertainties regarding different risk factors have symmetric effects on asset prices? In a general equilibrium setting where uncertainties regarding consumption and portfolio returns are of concern to investors but all the structural parameters of consumption and dividend growth...

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty about both the first and second moments of consumption and dividend growth rates. For the 1891-2007 period, our model generates a sizable average annual equity premium,...

We examine the effects of parameter uncertainty and Bayesian learning on equilibrium asset prices when all the structural parameters of the aggregate consumption and dividend growth rate processes are unknown. With realistic calibration of a parsimonious set of prior parameters, the model...

Information and learning environments shape the dynamics of our beliefs that determine asset prices. When an agent jointly learns about consumption and dividend, her beliefs on them inter-temporally co-vary with each other, decoupled from their true underlying relationship. Such...

Building on the theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Compared with levered (stock) returns, the unlevered market beta plays a more important role in...

Developing a dynamic production-based model with real options, we examine the implications of firm-level production, investment and financial policies on the higher moments of their stock return distributions. We introduce novel channels showing that cash-flow hedging and capital investment by...