Asset pricing with multiplicative habit and power-expo preferences
AbstractMultiplicative habit introduces an additional consumption risk as a determinant of equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect "price of risk". A model combining multiplicative habit and power-expo preferences cannot be rejected.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 94 (2007)
Issue (Month): 3 (March)
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Other versions of this item:
- William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences," CIRJE F-Series CIRJE-F-429, CIRJE, Faculty of Economics, University of Tokyo.
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