the risk attitudes. Theoretically, the change behaviour is compressed by the pricing kernels. As a starting point for …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … ; free lunch with vanishing risk ; arbitrage ; transaction costs …