In this paper, the authors present empirical evidence on aggregation problems with Euler equations for consumption. Their main results are that the estimates of the elasticity of intertemporal substitution for consumption are consistently lower for aggregate data than for average cohort data and...

This paper addresses two topics. First, it nests the consumption and static capital asset pricing model in a unified framework. Second, it tests for market efficiency. The first test is based on the idea that different models price risk on the basis of the covariance with different benchmark...