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
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;
Conference_Titel :
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location :
Shanghai, China
Print_ISBN :
978-1-4244-8691-5
DOI :
10.1109/ICEBEG.2011.5887101
