Asset pricing with multiplicative habit and power-expo preferences

DOI10.1016/j.econlet.2006.10.015zbMath1254.91195OpenAlexW2070717384MaRDI QIDQ1929843

William T. Smith, Qiang Zhang

Publication date: 9 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.10.015

zbMATH Keywords

asset pricingrisk aversionequity premium puzzleinternal multiplicative habitpower-expo preferences

Mathematics Subject Classification ID

Related Items (2)

Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ Local and global bifurcations in an economic growth model with endogenous labour supply and multiplicative external habits

Cites Work

• Solving consumption models with multiplicative habits
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
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