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External habit and the cyclicality of expected stock returns

Thomas D. Tallarini, Jr.; Zhang, Harold H. - Federal Reserve Board (Board of Governors of the … - 2005

We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method of moments (EMM). Given the estimated structural parameters we examine the cyclical behavior of expected stock returns in the model. We find that the estimated...

Persistent link: https://www.econbiz.de/10005393773

Explaining bond returns in heterogeneous agent models : the importance of higher-order moments

Zhang, Harold H. - In: Journal of economic dynamics & control 24 (2000) 10, pp. 1381-1404

Persistent link: https://www.econbiz.de/10001495424

Endogenous borrowing constraints with incomplete markets

Zhang, Harold H. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2187-2209

Persistent link: https://www.econbiz.de/10001232323

Endogenous short-sale constraint, stock prices and output cycles

Zhang, Harold H. - In: Macroeconomic dynamics 1 (1997) 1, pp. 228-254

Persistent link: https://www.econbiz.de/10001337433

Comment on "Household portfolio choices in taxable and tax-deferred accounts : another puzzle?"

Zhang, Harold H. - In: European finance review : the official journal of the … 7 (2003) 3, pp. 583-586

Persistent link: https://www.econbiz.de/10002024196

Fixed costs and asset market participation

Yaron, Amir; Zhang, Harold H. - In: Revista de análisis económico 15 (2000) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001537960

An investigation of the risk and return relation at long horizons

Harrison, Paul; Zhang, Harold H. - In: The review of economics and statistics 81 (1999) 3, pp. 399-408

Persistent link: https://www.econbiz.de/10001406149

Explaining financial data in a heterogeneous agent environment

Zhang, Harold H. - 1994

Persistent link: https://www.econbiz.de/10000916544

Overparameterization in the seminonparametric density estimation

Liu, Ming - In: Economics letters 60 (1998) 1, pp. 11-18

Persistent link: https://www.econbiz.de/10001245386

Optimal consumption and investment with capital gains taxes

Dammon, Robert Mark; Spatt, Chester S.; Zhang, Harold H. - In: The review of financial studies 14 (2001) 3, pp. 583-616

Persistent link: https://www.econbiz.de/10001602970

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