CIRJE-F-429 | "Asset Pricing With Multiplicative Habit and Power-Expo Preferences" |
Author Name | Smith, William T. and Qiang Zhang |
Date | June 2006 |
Full Paper | PDF file@ |
Remarks | Subsequently published in Economics Letters, 2007, 94(3), 319-325. |
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. |