Recent and Future Measurements of the Neutron Electric Form Factor

I review recently conducted measurements of \gen as well as precision form factor experiments at high momentum transfer that will be performed with the 11 GeV electron beam at Jefferson Lab.Comment: Submitted to the XIII International Conference on Hadron Spectroscopy (Hadron 2009

Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation

A growing body of literature suggests limited asset market participation as a plausible explanation of the empirical failure of the standard consumption capital asset pricing model (CCAPM). Correct identification of capital markets investors is, however, often impossible due to imperfection of available information on assetholding status. As a plausible solution to the problem of sample classification when available information is an imperfect sample separation indicator, we propose the CCAPM in which the pricing kernel is calculated as the weighted average of individual households¡¯ marginal rate of substitution, with the weights being the probabilities of holding the asset in question. The asset holding probabilities are conditional on available sample separation information and estimated from a binary response model as a function of demographic and family characteristics of consumers simultaneously with the parameters of Euler equations. The CCAPM with probability-weighted agents is less susceptible to sample misclassification compared to when available imperfect information on asset holding status is used to separate assetholders from nonassetholders. Using data from the U.S. Consumer Expenditure Survey (CEX), we find that, in contrast to when the reported in the CEX financial information is regarded as a perfect sample separation indicator, the model with probability-weighted agents is not rejected statistically both under conventional normal and weak-identification asymptotics and yields precise and economically realistic estimates of the coefficient of relative risk aversion (RRA). The hypothesis that the households¡¯ market participation behavior exhibits considerable persistence is not rejected statistically. Empirical evidence is that the decision to own assets is likely to be endogenous with respect to the consumption and savings decisions and that allowing for this fact is important for estimating risk aversion.equity premium puzzle, Euler equation, limited asset market participation, probit model, risk-free rate puzzle

High-Order Consumption Moments and Asset Pricing

This paper develops an approximate equilibrium factor model for asset returns. In this model, the pricing factors are the cross-moments of return with the cross-sectional moments of individual consumption and the signs of the risk factor coefficients are driven by preference assumptions. Using household-level quarterly consumption data from the U.S. Consumer Expenditure Survey, we find that this model explains the observed equity premium with an economically realistic value of risk aversion when the stochastic discount factor is expressed in terms of the cross-sectional skewness and kurtosis, in addition to the mean and variance, of individual consumption.asset pricing, equity premium, Euler equation, heterogeneous consumers, incomplete consumption insurance.

High-Order Consumption Moments and Asset Pricing

To assess the potential of incomplete consumption insurance for explaining the equity premium and the risk-free rate of return, we use a Taylor series expansion of the individual's marginal utility of consumption around the conditional expectation of consumption and derive an approximate equilibrium model for expected returns. In this model, the priced risk factors are the cross-moments of return with the moments of the cross-sectional distribution of individual consumption and the coefficients of the risk factors are determined by the derivatives of the utility function. Using this approach allows to avoid an ad hoc specification of preferences and to consider a general class of utility functions when addressing the question of the effect of a particular moment of the cross-sectional distribution of individual consumption on the expected equity premium and risk-free interest rate. We demonstrate that if consumers exhibit decreasing and convex absolute prudence, then the cross-sectional mean and skewness of individual consumption help explain the equity premium if their cross-moments with the excess market portfolio return are positive, while the cross-sectional variance and kurtosis always lower the equity premium explained by the model. The empirical investigation uses the data on the monthly household consumption of nondurables and services, reconstructed from the Consumer Expenditure Survey database. The Hansen-Jagannathan volatility bound analysis, calibration, and GMM analysis results show that under the CRRA preferences, the model can reproduce the observed equity premium and risk-free rate with economically plausible values of the relative risk aversion coefficient (between 0.6 and 1.6) and the time discount factor when the cross-sectional skewness of individual consumption, combined with the cross-sectional mean and variance, is taken into accountequity premium puzzle, heterogeneous consumers, incomplete consumption insurance, risk-free rate puzzle.