Edited by John H. Cochrane, Rose-Marie and Jack Anderson Senior Fellow, Hoover Institution, Stanford University, US

• Contents:AcknowledgementsIntroduction John H. CochranePART IFACTS: TIME-VARIATION AND BUSINESS CYCLE CORRELATION OF RETURNS 1. John H. Cochrane (1999), ‘New Facts in Finance’2. Eugene F. Fama and Kenneth R. French (1989), ‘Business Conditions and Expected Returns on Stocks and Bonds’3. Martin Lettau and Sydney Ludvigson (2001), ‘Consumption, Aggregate Wealth, and Expected Stock Returns’4. Eugene F. Fama and Kenneth R. French (1996), ‘Multifactor Explanations of Asset Pricing Anomalies’5. Jimmy Liew and Maria Vassalou (2000), ‘Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth?’PART IIEQUITY PREMIUM 6. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium: A Puzzle’7. John H. Cochrane and Lars Peter Hansen (1992), ‘Asset Pricing Explorations for Macroeconomics’PART IIICONSUMPTION MODELS 8. Lars Peter Hansen and Kenneth J. Singleton (1982), ‘Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models’9. Lars Peter Hansen and Kenneth J. Singleton (1984), ‘Errata’10. Martin Lettau and Sydney Ludvigson (2001), ‘Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying’11. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’PART IVPRODUCTION, INVESTMENT AND GENERAL EQUILIBRIUM MODELS 12. John H. Cochrane (1991), ‘Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations’13. John H. Cochrane (1996), ‘A Cross-Sectional Test of an Investment-Based Asset Pricing Model’14. Urban J. Jermann (1998), ‘Asset Pricing in Production Economies’15. Michele Boldrin, Lawrence J. Christiano and Jonas D.M. Fisher (2001), ‘Habit Persistence, Asset Returns, and the Business Cycle’16. Lior Menzly, Tano Santos and Pietro Veronesi (2004), ‘Understanding Predictability’17. Thomas D. Tallarini Jr. (2000), ‘Risk-Sensitive Real Business Cycles’18. Robert E. Hall (2001), ‘The Stock Market and Capital Accumulation’PART VLABOR INCOME AND IDIOSYNCRATIC RISK 19. John Y. Campbell (1996), ‘Understanding Risk and Return’20. George M. Constantinides and Darrell Duffie (1996), ‘Asset Pricing with Heterogeneous Consumers’21. Alon Brav, George M. Constantinides and Christopher C. Geczy (2002), ‘Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence’Name Index