volatility is associated with a rise in discount rates and a decline in consumption. To study the impact of volatility we provide …How important are volatility fluctuations for asset prices and the macroeconomy? We find that a rise in macroeconomic … a framework in which cashflow, discount-rate, and volatility risks determine risk premia. We show that volatility plays …

, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …

We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable …

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset … consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to …

Electricity consumption is a useful real-time proxy for economic activities, as most modern-day economic activities … involve the use of electricity, which cannot be easily stored. Empirically, electricity consumption data is widely available … residential-commercial electricity usage is a better measure of spot consumption for both time series and cross-sectional CCAPM …

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 propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its … it is located approximately one standard deviation below the conditional mean of consumption growth. Our single … preferences, and question the effectiveness of the smooth utility framework, which is traditionally used in consumption …

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 …