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In this paper we derive a pricing kernel for continuous-time long-run risks economy with the Epstein-Zin utility function, non-i.i.d. consumption growth, and incomplete information about fundamentals. In equilibrium, agents learn about latent conditional mean of consumption growth and price equity simultaneously. We demonstrate our analytical results by applying the model to a well-known complete information equity valuation model. Calibration of the model reveals that it can matchdoi:10.4236/jmf.2014.44025 fatcat:7dkzv4bwjffvfbcuytuzmzatuy