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 …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This essay reviews the family of models that seek to provide aggregate risk based
explanations for the empirically observed equity premium. Theories based on non-expected …

In an effort to explain simultaneously the excess return predictability observed in equity,
bond and foreign exchange markets, we incorporate preferences exhibiting first-order risk …

We propose an asset pricing model with generalized disappointment aversion preferences
and long-run volatility risk. With Markov switching fundamentals, we derive closed-form …

In this paper we provide a thorough characterization of the asset returns implied by a simple
general equilibrium production economy with Chew–Dekel risk preferences and convex …

This paper assesses the empirical performance of an intertemporal option pricing model
with latent variables which generalizes the Black–Scholes and the stochastic volatility …

Abstract Gallant, Hansen, and Tauchen (1990) show how to use conditioning information
optimally to construct a sharper unconditional variance bound (the GHT bound) on pricing …

This article explains the high level and the countercyclical variation of the equity premium in
a consumption-based asset pricing model with low large-scale risk aversion. Investors have …