This thesis consists of three essays on the relationship between consumption, the business cycle, and expected returns on financial assets. The first essay is "A Consumption-Based Explanation of Expected Stock Returns." A revised version of the essay was published in The Journal of Finance 61:2 (April 2006), pp. 539-580. The second essay is "Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak." The essay was published in The Review of Economics and Statistics 86:3 (August 2004), pp. 797-810. The third essay is "Efficient Tests of Stock Return Predictability,"...