Explaining the Poor Performance of Consumption-Based Asset Pricing Models

(With John Y. Campbell). Journal of Finance 55(6) (December 2000) 2863-2878.  The CAPM outperforms the consumption-based model in artificial data from the habit persistence model used in "By force of Habit.."

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Long term debt and optimal policy in the fiscal theory of the price level

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A rehabilitation of stochastic discount factor methodology