Reza Roshan

This article investigates to include leisure as a risk factor in the Stochastic discount factor of the capital asset pricing model and quantifies its contribution to household utility, using data from the Iranian economy spanning 1978 to 2021. First, by using a recursive preferences function such as the function provided by Epstein-Zine, we extracted the Euler equation containing the leisure risk factor. Then, coefficients have been estimated using the GMM. The Hansen J-statistic confirms the validity of our instrumental variables. Our findings reveal a statistically significant contribution of leisure to household utility in Iran, estimated at 0.158. These results support the inclusion of leisure as a risk factor within the Consumption-based CAPM (CCAPM) framework, demonstrating its importance in measuring household welfare. leisure as a risk factor in the framework of CCAPM is justified, and with the contribution of this factor to the household's welfare can be measured.