This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

This paper is a critical review of the literature on the “equity premium puzzle≓. The puzzle,
as originally articulated more than fifteen years ago, underscored the inability of the …

GARCH models have been applied in modelling the relation between conditional variance
and asset risk premia. These models, however, have at least three major drawbacks in asset …

We find support for a negative relation between conditional expected monthly return and
conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) …

Restrictions that a class of general equilibrium models place upon the average returns of
equity and Treasury bills are found to be strongly violated by the US data in the 1889–1978 …

This paper analyzes the relation of stock volatility with real and nominal macroeconomic
volatility, economic activity, financial leverage, and stock trading activity using monthly data …

Expected returns on common stocks and long-term bonds contain a term or maturity
premium that has a clear business-cycle pattern (low near peaks, high near troughs) …

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 …

Measuring the total return variation explained by shocks to expected cash flows, time‐
varying expected returns, and shocks to expected returns is one way to judge the rationality …

ABSTRACT A positive slope of the yield curve is associated with a future increase in real
economic activity: consumption (nondurables plus services), consumer durables, and …