Lawrence, Edward R.; Geppert, John; Prakash, Arun J. - In: Journal of Business Finance & Accounting 36 (2009-06) 5-6, pp. 774-791
This paper tests whether the <link rid="b3">Campbell and Cochrane (1999)</link> habit utility model generates a valid stochastic discount factor for the 25 Fama-French size/book-to-market and size/momentum sorted portfolios. <link rid="b3">Campbell and Cochrane (1999)</link> derive a consumption based habit utility asset pricing model and...