"Asset Pricing With Multiplicative Habit and Power-Expo Preferences"

Preprint OPEN
William T. Smith; Qiang Zhang;
(2006)
  • Subject:
    mesheuropmc: health care economics and organizations

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 c... View more
  • References (22)
    22 references, page 1 of 3

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