The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter … the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate … tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and …

consumption-based model by construction, the CAPM and its extensions are much better approximate models than is the standard power … CAPM are equivalent and perfect conditional asset pricing models. However, the model economy also produces time …

stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data …

facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from …

those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our …

This paper proposes a new way to generalize the insights of static asset pricing theory to a multi-period setting. The …