The authors estimate the equity risk premium (ERP)—the expected return on stocks in
excess of the risk-free rate—by combining information from twenty models for the period …

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 …

Macro-finance addresses the link between asset prices and economic fluctuations. Many
models reflect the same rough idea: the market's ability to bear risk is greater in good times …

We summarize and extend the new literature on the term structure of equity. Short-term
equity claims, or dividend strips, have higher average returns and Sharpe ratios than the …

We estimate how households trade off immediate costs and uncertain future benefits that
occur in the very long run, 100 or more years away. We exploit a unique feature of housing …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration
earn 1.10% per month lower returns than short-duration stocks in the cross-section. I create …

Equity risk premiums are a central component of every risk and return model in finance and
are a key input into estimating costs of equity and capital in both corporate finance and …

Between 1996 and 2014, it was costless on average to hedge news about future variance at
horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance …

In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium
endowment economy in which agents have “catching up with the Joneses” utility functions …

Stocks of firms with cash flows concentrated in the short term (ie, short duration stocks) pay a
large premium over long duration stocks. I empirically demonstrate that this premium (i) is …