Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Preprint OPEN
Sydney Ludvigson; Xiaohong Chen;
(2004)
  • Subject: Habit Formation, Asset Returns
    • jel: jel:G12 | jel:C14 | jel:C52

A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a "habit" level, where the habit is some function of... View more
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