Cointegration and Consumption Risks in Asset Returns

An earlier draft of this paper was circulated with the title "Long Run Risks and Equity Returns." We would like to thank George Tauchen, Jessica Wachter, Vivian Wang, Amir Yaron, and the seminar participants at Arizona State University, Duke University, Simon Fraser University, Stanford University, University of British Columbia, University of Michigan, University of North Carolina, University of Pennsylvania, Vanderbilt University, Federal Reserve Board of Governors Conference on Risk Premiums: Time Variation and Macroeconomic Links, and 2007 American Finance Association Meetings for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.