Between 37% and 75% of quarterly variations in the U.S. aggregate logarithmic price-dividend ratio are related to economic information that is embedded in the real risk-free rate. Only one hidden factor is required to explain more than 80\% of these common variations. Surprisingly, standard...

We present an arbitrage-free affine term structure model that jointly prices U.S. Treasury bonds, S&P 500 dividend strips and the S&P 500 equity index as a function of the economy. Our model allows us to extract new insights on how short- and long-duration dividends and their discount rates...

This study combines model-free conditional estimators for the risk-neutral and the physical distribution of equity returns to obtain daily measures for the pricing kernel at the monthly time horizon. Despite their time-varying nature, our pricing kernels are non-parametric, forward-looking,...