How non-linear are log price-dividend ratios in the fundamental state variables? We work out a novel formula for the … price-dividend ratio within a parsimonious affine model to study exactly how much non-linearity is generated by the … by fuelling the non-linearity of the log price-dividend ratio …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …

premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price-dividend …