Many consumption-based models succeed in matching long lists of asset price moments. We propose an alternative, full-information Bayesian evaluation that decomposes the price-dividend ratio (p/d) into contributions from long-run risks, habit, and a residual. We find that long-run risks account...

Harvey, Liu, and Zhu (2016) “argue that most claimed research findings in financial economics are likely false.” Surprisingly, their false discovery rate (FDR) estimates suggest most are true. I revisit their results by developing non- and semi-parametric FDR estimators that account for...