We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor …

-varying consumption volatility. Production makes this channel visible, and external habit preferences amplify it. An estimated model … first two moments of excess equity returns, the risk-free rate, and the second moments of consumption, output, and …Many theories of asset prices assume time-varying uncertainty in order to generate time-varying risk premia. This paper …

-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment ; countercyclical risk ; aggregate shocks …

; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms ; news shocks ; uncertainty shocks. …

; cross-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks …

-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms …

-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross …I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside … considerably improves the fit of consumption-based asset pricing models …

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two … period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose … unique under full insurance. If investment is fully insured but unemployment risk is uninsured, the precautionary saving …