the 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 pro-cyclical while the market return has countercyclical mean and variance. Finally, household consumption risk …

, and time-varying likelihood of rare disasters. I embed this time-variation of risk in an endowment economy with a … high equity risk premium, excessive volatility of equity return, predictability of market returns through the price …-implied correlations between equity premium, variance risk premium, and the implied volatility of deep OTM put options are consistent with …

idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently … expected stock returns, and new supporting evidence that idiosyncratic risk is priced …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …