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Habit formation: a resolution of the equity premium puzzle?

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Author Info
Otrok, Christopher
Ravikumar, B.
Whiteman, Charles H.

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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 49 (2002)
Issue (Month): 6 (September)
Pages: 1261-1288
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Handle: RePEc:eee:moneco:v:49:y:2002:i:6:p:1261-1288

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  1. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October. [Downloadable!] (restricted)
    Other versions:
  2. David N. DeJong & Emilio Espino, 2007. "The Cyclical Behavior of Equity Turnover," Working Papers 294, University of Pittsburgh, Department of Economics, revised Oct 2007. [Downloadable!]
  3. Eric JONDEAU & Herve LE BIHAN, 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")," Econometrics 0303006, EconWPA. [Downloadable!]
    Other versions:
  4. S. Rao Aiyagari & Mark Gertler, 1990. "Asset Returns with Transactions Cost and Uninsured Risk: A Stage III Exercise," NBER Working Papers 3481, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July. [Downloadable!] (restricted)
  6. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 149-174. [Downloadable!]
    Other versions:
  7. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA. [Downloadable!]
  8. Christopher Otrok, 2000. "On Measuring the Welfare Cost of Business Cycles," Econometric Society World Congress 2000 Contributed Papers 1094, Econometric Society. [Downloadable!]
    Other versions:
  9. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 449-476. [Downloadable!] (restricted)
    Other versions:
  10. Beatrice Pataracchia, 2008. "Design Limits in Regime-Switching Cases," Department of Economics University of Siena 529, Department of Economics, University of Siena. [Downloadable!]
  11. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  12. 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. [Downloadable!]
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  13. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics. [Downloadable!]
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  14. Stefano G. Athanasoulis & Oren Sussman, 2004. "Habit Formation and the Equity-Premium Puzzle: a Skeptical View," OFRC Working Papers Series 2004fe12, Oxford Financial Research Centre. [Downloadable!]
  15. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," NBER Working Papers 10495, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. repec:att:wimass:1920325 is not listed on IDEAS
  17. Beatrice Pataracchia, 2008. "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena 528, Department of Economics, University of Siena. [Downloadable!]
  18. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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