Habit formation and the equity-premium puzzle: a skeptical view
We argue that ceteris paribus, introducing a habit that resolves the equity premium puzzle is equivalent to increasing the coefficient of relative risk aversion. Thus, if habit is modeled subject to the constraint that the Arrow-Pratt coefficient of relative risk aversion is held at a constant "...
| Κύριοι συγγραφείς: | , |
|---|---|
| Μορφή: | Working paper |
| Έκδοση: |
University of Oxford
2004
|