extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption … coefficient much lower than any existing consumption measures under the standard consumption model. This outperformance of our …-year consumption growth encompasses other consumption measures in explaining the cross-sectional variation of expected returns on …

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating …

Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable … consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that … households cannot substitute energy consumption by consumption of other nondurables. As a consequence, energy consumption affects …