• DocumentCode
    1679608
  • Title

    Habit formation, heterogeneous risk aversion and asset prices

  • Author

    Xiong, Heping ; Li, Ye He Luyan

  • Author_Institution
    School of economics and management, Wuhan University, Wuhan, 730072, China
  • fYear
    2011
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    In this paper we study the effect of habit formation on asset pricing under heterogeneous preference assumptions. We find the instantaneous Sharpe ritios are time-varying and counter-cyclical for both lagged habit and unlagged habit. and unlagged habit will result to more complicate instantaneous interest rate
  • Keywords
    Aggregates; Equations; Indium tin oxide; Pricing; Stock markets; Yttrium; asset pricing; habit formation; heterogeneous preference;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    E -Business and E -Government (ICEE), 2011 International Conference on
  • Conference_Location
    Shanghai, China
  • Print_ISBN
    978-1-4244-8691-5
  • Type

    conf

  • DOI
    10.1109/ICEBEG.2011.5887101
  • Filename
    5887101
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1679608