Abstract
R. E. Lucas in 'Asset prices is an exchange economy' (Econometrica, 1978, 46, pp. 1426-45) described a means of constructing equilibrium asset prices in a one-good, pure exchange economy with identical agents who maximize the expected utility of lifetime consumption. The Euler equation of the maximization problem provides a relationship that links the prices of assets to their underlying dividend processes. This investigation uses the framework developed by Lucas to determine the discount factors for future consumption streams that are implied by observed prices. Evidence is found of cross-sectional regularities among those discount factors attributed to market fads.