The last 15 years has brought forth an explosion of research on consumption-based asset
pricing as a leading contender for explaining aggregate stock market behavior. This …

The potential for rare economic disasters explains a lot of asset-pricing puzzles. I calibrate
disaster probabilities from the twentieth century global history, especially the sharp …

The standard theory of decision making under uncertainty advises the decision maker to
form a statistical model linking outcomes to decisions and then to choose the optimal …

I examine 2,735 estimates of the elasticity of intertemporal substitution in consumption (EIS)
reported in 169 published studies. The literature shows strong selective reporting …

This paper proposes a new way to generalize the insights of static asset pricing theory to a
multi-period setting. The paper uses a loglinear approximation to the budget constraint to …

This paper introduces, within the context of an infinite horizon optimal consumption problem,
a parametric class of Kreps-Porteus nonexpected utility preferences—generalized isoelastic …

A representative-consumer model with Epstein-Zin-Weil preferences and iid shocks,
including rare disasters, accords with observed equity premia and risk-free rates if the …

OVER THE LAST one hundred years, the average real return to stocks in the United States
has been about six percent per year higher than that on Treasury bills. At the same time, the …

We show that bond risk premia rise with uncertainty about expected inflation and fall with
uncertainty about expected growth; the magnitude of return predictability using these …

The author surveys work on the intersection between macroeconomics and finance. The
challenge is to find the right measure of" bad times," rises in the marginal value of wealth, so …