Text
Good-Specific Habit Formation and the Cross-Section of Expected Returns
I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock, and have low asset pricing betas and stock return volatilities. I find supportive evidence for these predictions in the data.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| The Journal of Finance | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : 2016 |
|---|---|
| Edisi | Vol. 71, Number 4, Aug. 2016 |
| Subjek | Asset pricing Household consumption Expected returns habit formation equlibrium models |
| ISBN/ISSN | 00221082 |
| Klasifikasi | NONE |
| Deskripsi Fisik | p. 1699-1732 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |