to college households in terms of welfare. Chapter 2 disentangles the effect of demographic change on returns to risk …. Chapter 3 develops a method for computing transitional dynamics in heterogeneous agent models with aggregate risk if these …

The Asset pricing literature has produced hundreds of risk factor candidates aimed at explaining the cross-section of … expected excess returns, although risk factors which are in fact capable of providing independent information remains an open …-sectional returns only with PCs (principal components). In this paper, we propose a new methodology that seeks to reduce risk factor …

We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by … observed especially in small size and low book-to-market ratio firms, which are in general more sensitive to interest-rate risk …