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Estimating the Real Rate of Return on Stocks Over the Long Term

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This paper proposes a simple consumption-based explanation of both the cross-sectional variation in expected stock returns and the countercyclical vari- ation in the equity premium. I use a representative household model, in which intraperiod utility is a constant elasticity of substitution (CES) function of nondurable and durable consumption. The household’s intertemporal utility is Epstein and Zin’s (1991) recursive function, which allows for the separation of the elasticity of intertemporal substitution (EIS) from risk aversion. The durable consumption model (as the model is referred to throughout the paper) nests the nonseparable expected utility model as a special case when EIS is the inverse of risk aversion (Dunn and Singleton (1986),.

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