the unconditional cross-sectional moments of household consumption growth and the moments of the risk free rate, equity … premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk free rate and price …-dividend ratio are pro-cyclical while the market return has countercyclical mean and variance. Finally, household consumption risk …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

other and the economy in a gradual and endogenous adjustment process; (ii) the impact of a commodity price shock on global …

other and the economy in a gradual and endogenous adjustment process; (ii) the impact of a commodity price shock on global …

We propose a risk-based firm-type explanation on why stocks of firms with high relative short interest (RSI) have lower … risk. Consistent with this argument, we show that these firms have high firm-specific uncertainty and option-like equity …, and the aggregate volatility risk factor can largely explain the high RSI effect. The key mechanism is that high RSI firms …