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Asset Pricing With Multiplicative Habit and Power-Expo Preferences
Smith, William T.
97722
Qiang, Zhang
97723
330
JEL Classification Numbers: G12, E21
application/pdf
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.
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technical report
日本経済国際共同センター
2006-06
Discussion paper series. CIRJE-F
CIRJE-F-429
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf429ab.html
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