findings of the empirical literature: excess volatility of the market price compared to the asset's fundamental value, serially … correlated volatility, contemporaneous volume-volatility correlation, and excess kurtosis of price changes. We implement a …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

. First, subjective probability adjustments add volatility to the stochastic discount factor, and can rationalize any pattern … consistent with empirical results reported here, and in the previous literature documenting stochastic discount factor volatility …. Several recent theories of stochastic discount factor volatility can, from the aggregate point of view, be interpreted as …

Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the …-stationarity (including bubbles) and finite samples. Standard excess volatility tests are joint tests of market efficiency and risk neutrality …

impose tight upper and lower bounds on the implied volatility …

-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i … those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our …