A Long-Run Productivity Risks Driving q-Factor Model

An investment-based q-Factor asset pricing model with long-run productivity risks can largely explain the variation of cross-sectional equity return.

The Sensitivity of Risk Premiums to the Elasticity of Inter-temporal Substitution

Two additional extensions improve the performances of a consumption-based asset pricing model of loss aversion preference and lead to high sensitivity of the elasticity of intertemporal substitution to asset prices.