Over two decades ago, Mehra and Prescott (1985) challenged the finance profession with a
poser: the historical US equity premium is an order of magnitude greater than can be …

A major research initiative in finance focuses on the determinants of the cross-sectional and
time series properties of asset returns. With that objective in mind, asset pricing models have …

The coefficient of relative risk aversion is a key parameter for analyses of behavior toward
risk, but good estimates of this parameter do not exist. A promising place for reliable …

Risks of rare economic disasters can have a large impact on asset prices. At the same time,
difficulties in inference regarding both the likelihood and severity of disasters, as well as …

This paper explores the quantitative asset-pricing implications of expectations-based
reference-dependent preferences, as introduced by Koszegi and Rabin (2009, American …

We show that state non-separable preferences à la Epstein–Zin–Weil (EZW) provide a
tractable and flexible framework to study the economics of health and longevity. This utility …

We exploit inheritance episodes to provide novel causal evidence on the long-run effects of
a large financial windfall on saving behavior. For identification, we combine a longitudinal …

This article empirically models China's stock prices using conventional fundamentals:
corporate earnings, risk-free interest rate and a proxy for equity risk premium. It uses the …

The book aims to show that the deterministic vision embodied in conventional economic
modelling is neither consistent with nor supported by the state of the art in mathematics …

Motivated by the problems of the conventional model in rationalizing market data, we derive
the equilibrium interest rate and risk premiums using recursive utility in a continuous‐time …