Essays on Consumption and Expected Returns

This thesis consists of three essays on the relationship between consumption the business cycle and expected returns on financial assets.The first essay is A Consumption-Based Explanation of Expected Stock Returns. A revised version of the essay was published in The Journal of Finance 61:2 (April 2006) pp. 539-580.The second essay is Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak. The essay was published in The Review of Economics and Statistics 86:3 (August 2004) pp. 797-810.The third essay is Efficient Tests of Stock Return Predictability coauthored by John Y. Campbell. A revised version of the essay was published in the Journal of Financial Economics 81:1 (July 2006) pp. 27-60.The thesis was awarded the 2005 Zellner Thesis Award in Business and Economic Statistics by the American Statistical Association.