Two duration factors that arise from the downward-sloping term structure of equity returns explain the value, profitability, and investment premiums. One duration-factor captures the spread of returns between short and long durations, and the other duration-factor {measures the difference in...

We propose a class of time-separable and state-dependent preferences for asset pricing. In conjunction with the affine structure of the joint dynamics of state variables, aggregate consumption and dividend, an equilibrium model with these preferences yields closed-form solutions of bonds and...