This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...

This paper combines a data rich environment with a machine learning algorithm to provide new estimates of time-varying systematic expectational errors ("belief distortions") embedded in survey responses. We find that distortions are large on average even for professional forecasters, with all...