In India, the household sector contributes about 80% of Gross Domestic Savings (GDS). The sector's investments are predominant in fixed income bearing instruments or physical assets, and less predominant in financial assets like shares and mutual funds. This paper makes an attempt to analyze the...

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a cross-section of equity returns over 1948-2011 for the US market. The stochastic discount factor is shown by news on both leisure and consumption. While estimating these two long...