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Discussion Paper F series (in English) >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2261/2704
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| タイトル: | Asset Pricing With Multiplicative Habit and Power-Expo Preferences |
| 著者: | Smith, William T.
Qiang, Zhang |
| キーワード: | JEL Classification Numbers: G12, E21 |
| Issue Date: | Jun-2006 |
| 出版者: | 日本経済国際共同センター |
| 抄録: | 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. |
| URI: | http://hdl.handle.net/2261/2704 |
| その他の識別子: | CIRJE-F-429 |
| Appears in Collections: | 061 ディスカッションペーパー
Discussion Paper F series (in English)
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