Title of article
Asset pricing with multiplicative habit and power-expo preferences
Author/Authors
William T. Smith، نويسنده , , Qiang Zhang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
319
To page
325
Abstract
Multiplicative habit introduces an additional consumption risk as a determinant of the equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect “the price of risk.” A model combining multiplicative habit and power-expo preferences cannot be rejected.
Keywords
Internal multiplicative habit , Risk aversion , asset pricing , Equity premium puzzle , Power-expo preferences
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436156
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