Pástor and Stambaugh (2012) find that from a forward-looking perspective, stocks are more
volatile in the long run than they are in the short run. We demonstrate that when the …

This article analyzes whether consumption-based asset pricing models improve the excess
returns forecasts of a hypothetical investor with access to these models from 1947 onwards …

This paper compares consumption-based asset pricing models based on the forecasting
performance of investors who use economic constraints derived from the models to predict …

In this dissertation, I revisit two problems in empirical asset pricing. In Chapter 1, I propose a
methodology to evaluate the validity of linear asset pricing factor models under short sale …