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Selected Works of Qiang Zhang
Article
Asset Pricing with Multiplicative Habit and Power-Expo Preferences
Economics Letters (Copyright: Elsevier Science) (2007)
  • William T. Smith, University of Memphis
  • Qiang Zhang, University of Leicester
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Abstract

Multiplicative habit introduces an additional consumption risk as a determinant of the equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect “the price of risk.” A model combining multiplicative habit and power-expo preferences cannot be rejected.

Keywords
  • Asset Pricing; Internal Multiplicative Habit,
  • Power-expo Preferences,
  • Risk Aversion,
  • Equity Premium Puzzle
Disciplines
Publication Date
March, 2007
Citation Information
William T. Smith and Qiang Zhang. "Asset Pricing with Multiplicative Habit and Power-Expo Preferences" Economics Letters (Copyright: Elsevier Science) Vol. 94 Iss. 3 (2007)
Available at: http://works.bepress.com/qiang_zhang/6/