Essays on financial market risk premiums

This thesis analyzes financial market risk premiums. I use representative agent models to theoretically and empirically explain various asset pricing phenomena such as the joint dynamics of stock and bond market returns (Chapter 1) and the predictability of excess equity returns with respect to the dividend price ratio (Chapter 2). Finally, I use a similar model to determine the relative roles of time-varying investor preferences and time-varying volatility in driving variation in the equity risk premium (Chapter 3).