Habit formation and the equity-premium puzzle: a skeptical view

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 "...

書誌詳細
主要な著者:	Sussman, O, Athanasoulis, S
フォーマット:	Working paper
出版事項:	University of Oxford 2004

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