The consumption-based asset pricing model with constant relative risk aversion explains the size and value premiums in US data over the period 1929 to 2014. The timing convention used for consumption is crucial for this result. The model matches the cross-sectional variation in mean returns on...

We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard...

We study investor expectations of stock returns on the S&P 500 index using data from the Livingston survey over the 1952-2019 period. We find that investors have slow-moving and countercyclical expected stock returns consistent with consumption-based model predictions. We find no evidence that...