Add to ORKGFirst draft, very preliminary The success of long-run consumption risk in pricing assets is tied to labor income risk. Labor income shocks are disproportionately borne by stockholders and stockholder ultimate consumption risk captures the cross-sectional variation in asset returns, including the size and value premia. Under Epstein-Zin preferences, risk aversion as low as 6.5 is sufficient to match both the cross-sectional price of risk and the equity premium for the wealthiest stockholders. In addition, the stockholder share of aggregate consumption captures time-variation in stock and bond market returns and mirrors the dynamics of the aggregate consumption-to-wealth ratio. The results highlight the importance of stockholder consumption r...
This paper shows that in a non-representative agent model in which households face short selling con...
Economically grounded models of asset pricing feature a role for information and risk as a de-vice f...
Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel a...
In this paper, I first develop a new approach to estimating the return on the aggregate wealth portf...
This thesis presents three empirical analyses on the systematic risk exposure that global and domest...
Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to...
This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model w...
The consumption capital asset pricing model is the standard economic model used to capture stock mar...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
OVER THE PAST century in the United States, the average annual return on the stock market has exceed...
An asset pricing model using long-run capital share growth risk has recently been found to successfu...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
We show that a life-cycle model with realistically calibrated uninsurable labor income risk and mode...
This paper shows that in a non-representative agent model in which households face short selling con...
Economically grounded models of asset pricing feature a role for information and risk as a de-vice f...
Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel a...
In this paper, I first develop a new approach to estimating the return on the aggregate wealth portf...
This thesis presents three empirical analyses on the systematic risk exposure that global and domest...
Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to...
This paper derives the value and risk of aggregate human capital in a stochastic equilibrium model w...
The consumption capital asset pricing model is the standard economic model used to capture stock mar...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
OVER THE PAST century in the United States, the average annual return on the stock market has exceed...
An asset pricing model using long-run capital share growth risk has recently been found to successfu...
This paper investigates how concentrated ownership of capital influences the pricing of risky assets...
We show that a life-cycle asset allocation model with liquidity constraints and realistically calibr...
We show that a life-cycle model with realistically calibrated uninsurable labor income risk and mode...
This paper shows that in a non-representative agent model in which households face short selling con...
Economically grounded models of asset pricing feature a role for information and risk as a de-vice f...
Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel a...