12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian … short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a … of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors …

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 …

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a … leisure and consumption. While estimating these two long run factors using a vector auto-regression (VAR), I find that growth … (big) stocks - lower average returns - obtain higher long run leisure betas but lower long run consumption betas than value …

for consumption volatility is negative, suggesting that long-term real bonds provide an effective hedge against the … volatility risk in consumption growth. In contrast to the standard long-run risk model, however, we find strong evidence that the …This paper estimates a consumption-based, no-arbitrage model of the term structure of real interest rates. The model …

run component of consumption growth process is proxied by a news based index that is created using a random forest … algorithm. This news index is shown to predict aggregate long term consumption growth with an R-square of 57% and is robust to … model that arises due to measurement error in consumption data and show that this bias term is non-zero. Using a three pass …

finite channel capacity -- affects optimal consumption and investment decisions in an otherwise standard intertemporal model … of portfolio choice. We first explicitly derive optimal consumption and portfolio rules under RI and then show that …-run consumption risk. We also show that the investment horizon matters for portfolio allocation in the presence of RI, even if …