We present a consumption-based model that explains a wide variety of dynamic asset
pricing phenomena, including the procyclical variation of stock prices, the long-horizon …

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 …

We investigate the small-sample properties of three alternative generalized method of
moments (GMM) estimators of asset-pricing models. The estimators that we consider include …

THE HUGE FEDERAL BUDGET DEFICITS in recent years have raised significant concerns
about the long-run sustainability of US fiscal policy. This has motivated a number of …

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 …

This study aims to evaluate the drying kinetics of basil leaves using microwave-assisted
drying (MAD) to determine moisture content, moisture ratio, drying rate, and economic …

When utility is nonseparable in nondurable and durable consumption and the elasticity of
substitution between the two consumption goods is sufficiently high, marginal utility rises …

The equity premium consists of a term premium reflecting the longer maturity of equity
relative to short-term bills, and a risk premium reflecting the stochastic nature of equity …

We show that consumption‐based asset pricing models with time‐separable preferences
generate realistic amounts of stock price volatility if one allows for small deviations from …

We develop an applied general equilibrium model to examine the optimal social security
replacement rate and the welfare benefits associated with it. Our setup consists of …