The macroeconomic data of the last fifty years have overturned at least two of Kaldor's
famous stylized growth facts: constant interest rates, and a constant labor share. At the same …

Motivated by the evidence that risk premia are large and countercyclical, this paper studies a
tractable real business cycle model with a small risk of economic disaster, such as the Great …

In this review we survey the recent research on the fundamental determinants of stock
returns. These studies explore how firms' systematic risk and their investment and …

An introduction to the theory and methods of empirical asset pricing, integrating classical
foundations with recent developments. This book offers a comprehensive advanced …

We examine the asset pricing implications of a production economy whose long‐term
growth prospects are endogenously determined by innovation and R&D. In equilibrium …

Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory
to explain and predict comovements of aggregate time series over the business cycle and to …

We provide an empirical evaluation of the forward-looking long-run risks (LRR) model and
highlight model differences with the backward-looking habit based asset pricing model. We …

The term premium in standard macroeconomic DSGE models is far too small and stable
relative to the data—an example of the “bond premium puzzle.” However, in endowment …

We document that consumption growth rates are far from iid and have a highly persistent
component. First, we estimate univariate and multivariate models of cash‐flow …

We examine empirically and theoretically the relation between firms' risk and distance to
consumers in a production network. We document two novel facts: firms farther away from …