Article ID Journal Published Year Pages File Type
5062142 Economics Letters 2007 7 Pages PDF
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.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Asset pricing with multiplicative habit and power-expo preferences
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