This paper studies the role of fluctuations in the aggregate price-earning ratio at different time scales for … the variations at different time scales in expected cash-flow growth and expected returns …

the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time …

rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption … disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical …

We develop a discrete-time real endowment economy featuring Epstein-Zin recursive utility and a Levy time …-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium … general, or in closed-form for tempered stable shocks. The non-Gaussianity of fundamentals due to time-deformation induces …

We develop a discrete-time real endowment economy featuring recursive preferences and a L´evy time-change subordinator …, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium …-Gaussianity of fundamentals due to time-deformation induces risk compensations whidh depend on higher order moments of consumption …

Equilibrium asset-pricing models with time-varying expected economic growth have been criticized for their apparent …