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

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 CARF-F-070, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The 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: 13 pages
Date: 2006-06
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Citations: View citations in EconPapers (1)

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