We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate marke
The package contains the codes and the data analysis files necessary to reproduce the figures and tables in Andrei, Cujean, and Wilson (forthcoming), "The Lost Capital Asset Pricing Model," Review of
Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence lev
Large-dimensional factor model has drawn much attention in the big-data era, in order to reduce the dimensionality and extract underlying features using a few latent common factors. Conventional metho
