NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Valuation Risk and Asset Pricing

Rui Albuquerque, Martin S. Eichenbaum, Sergio Rebelo

NBER Working Paper No. 18617
Issued in December 2012

---- Acknowledgements -----

We benefited from the comments and suggestions of Fernando Alvarez, Ravi Bansal, Frederico Belo, Jaroslav Borovička, John Campbell, John Cochrane, Lars Hansen, Anisha Ghosh, Ravi Jaganathan, Tasos Karantounias, Howard Kung, Junghoon Lee, Dmitry Livdan, Jonathan Parker, Alberto Rossi, Costis Skiadas, Ivan Werning, and Amir Yaron. We thank Robert Barro, Emi Nakamura, Jón Steinsson, and José Ursua for sharing their data with us and Benjamin Johannsen and Victor Luo for superb research assistance. Albuquerque gratefully acknowledges financial support from the European Union Seventh Framework Programme (FP7/2007-2013) under grant agreement PCOFUND-GA-2009-246542. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. A previous version of this paper was presented under the title “Understanding the Equity Premium Puzzle and the Correlation Puzzle,” http://tinyurl.com/akfmvxb.

---- Disclosure of Financial Relationships for Martin S. Eichenbaum -----

Non-teaching compensated activities: 2009 through 2012 (excludes token honoraria).

Co-editor, American Economic Review, 2011 - .

Associate Editor, Journal of Monetary Economics, 1989 – 2010.

Federal Reserve Bank of Atlanta, advisor.

Federal Reserve Bank of Chicago, advisor.

Jefferies Associates, economic outlook talk.

Hightower Associates, consultant.

Advisory Council Member, Global Markets Institute at Goldman Sachs.

---- Disclosure of Financial Relationships for Sergio Rebelo -----

I have no outside financial relationships that relate to this research. Rebelo's list of outside activities can be found at: http://www.kellogg.northwestern.edu/faculty/rebelo/htm/Outside_Activities.html

return to bibliography page

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us