ワーキングペーパー

F-series

作成:

番号:CARF-F-070

Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in “Economics Letters”, 2007, 94(3), 319-325. )

著者:Smith, William T and Qiang Zhang

Abstract

Multiplicative 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.

ダウンロード

全文ダウンロード