Asset pricing tests with long run risks in consumption growth

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Risks for the Long Run: Estimation with Time Aggregation (2012, methodology): “…include Parker and Julliard (2005), Kiku (2006), Bansal et al. (2007), Bekaert et al. (2009), Malloy et al. (2009), Lettau and Ludvigson (2009), Constantinides and Gosh (2011), Colacito and Croce (2011), Ferson et al. (2013), Calvet and Czellar (2015), Colin-Dufresne et al. (2016), and…”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “…and transitory components of 12), doi:10.1016/j.jfineco.2012.01.003 2 Recent studies include, among others, Bansal, Dittmar, and Kiku (2009), Constantinides and Ghosh (2008), Croce, Lettau, and Ludvigson (2008), Ferson, Nallareddy, and Xie (2010), Kaltenbrunner and Lochstoer (2010), Koijen,…”
Asset Pricing with Countercyclical Household Consumption Risk (2017, unknown): “Note that most asset pricing models, including those with long run risks and rare disasters, have difficulty in matching the latter moment and, therefore, at explaining the high volatility of stock prices (see e.g., Beeler and Campbell (2012) and Constantinides and Ghosh (2011)).”
Empirical cross-sectional asset pricing: a survey (2011, background): “Daniel and Titman (1997) argue that it is not the loadings on the factors but the characteristics themselves that explain the cross section of returns.”