Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and stochastic discount factor (SDF) methods, with centered and uncentered versions of the latter. We show that unlike standard two-step or iterated generalized method of moments (GMM)...

I calculate exact expressions for risk premia, term premia, and the premium on levered equity in a framework that includes habit formation, keeping/catching up with the Joneses, and possible departures from rational expectations. Closed-form expressions for the first and second moments of...