Asset Pricing With Multiplicative Habit and Power-Expo Preferences

William T. Smith and Qiang Zhang ()
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William T. Smith: Department of Economics, Fogelman College of Business & Economics, University of Memphis

No CIRJE-F-429, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 13pages
Date: 2006-06
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (1)

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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf429.pdf (application/pdf)

Related works:
Journal Article: Asset pricing with multiplicative habit and power-expo preferences (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2006cf429

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