a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks … cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and … of cointegration-based long run consumption risks for financial markets …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks … cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and … of cointegration-based long run consumption risks for financial markets. …

theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to … measure income risk as the observed variation of household income over a five year period. We find that indeed higher income … risk reduces the propensity to invest in stocks. However, when controlling for household heterogeneity as well as …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …