This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time variation can resolve several asset-pricing puzzles,...

Existence theorems for endowment economies with growth and sophisticated recursive preferences have proven difficult to come by. We offer a simple proof technique that covers many models of interest, such as the Bansal-Yaron long-run risk model, models with stochastic volatility and jumps,...

This paper analyzes how climate risks are priced on financial markets. We show that climate tipping thresholds, disagreement about climate risks, and preferences that price in long-run risks are crucial to an understanding of the impact of climate change on asset prices. Our model simultaneously...

I give a simple example of a rational expectations equilibrium with asymmetric information that reveals an implausible amount of information. In the example, the market price contains information that no individual market participant could deduce, even by observing the behavior of other market...