Summary: This paper presents estimates of key preference parameters of the recursive utility model of \textit{L. G. Epstein} and \textit{S. E. Zin} [Econometrica 57, No. 4, 937--969 (1989; Zbl 0683.90012); ``Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis'', J. Political Econ. 99, No. 2, 263--286 (1991; \url{doi:10.1086/261750})] and \textit{P. Weil} [``The equity premium puzzle and the risk-free rate puzzle'', J. Monetary Econ. 24, No. 3, 401--421 (1989; \url{doi:10.1016/0304-3932(89)90028-7})], evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.