This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...

This paper studies the impact of information processing and rational learning about economic fundamentals on the level and timing of risk premium in the cross-section of firms. Learning helps explain the level of the value premium, and why the term structure of risk premium is increasing for...

Leading asset pricing models are inconsistent with the recent empirical evidence documenting downward sloping term structures of equity risk and premia. This paper shows that a simple general equilibrium model can accommodate such stylized facts as long as dividends endogenously obtain from a...

This paper proposes a pure-exchange economy with three key ingredients: habit formation, stochastic moments of aggregate consumption, and a small degree of heterogeneity in risk aversion consistent with empirical data. We obtain closed formulas for many equilibrium quantities, including the...

This paper investigates how the investors responses to the evolution of uncertainty affect equilibrium asset returns. I develop a discrete-time real endowment economy where the aggregate economic uncertainty, as detected by a time-change for the endowment process, alters the perceived utility...