Skewness is a prevalent feature of macroeconomic time series and may arise exogenously because shocks are asymmetrically distributed, or endogenously, as shocks propagate through production networks. Previous theoretical work often studies these two possibilities in isolation. We nest all...

Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset pricing literature are consistent with the survey...