... and Wang(1994), Anderson, Hansen, and Sargent (2000), Chen and Epstein (2002),Hansen and Sargent (2001), Epstein and Miao (2003), Routledge and Zin(2002), Maenhout (2001), and Uppal and Wang ... Epstein, Lars Hansen, John Heaton, MichaelJohannes, Monika Piazzesi, Bryan Routledge, Jacob Sagi, Raman Uppal, Pietro Veronesi, Jiang Wang, an anonymous referee, and seminar participants at CMU, ... Sciences and Humanities Research Council ofCanada. Jun Pan thanks the research support from the MIT Laboratory for Financial Engineering.Address correspondence to: Jun Pan, MIT Sloan School of Management,...