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External habit and the cyclicality of expected stock returns

Tallarini, Thomas D.; Zhang, Harold H. - In: The journal of business : B 78 (2005) 3, pp. 1023-1048

Persistent link: https://www.econbiz.de/10003050987

External habit and the cyclicality of expected stock returns

Tallarini, Thomas D.; Zhang, Harold H. - 2005

Persistent link: https://www.econbiz.de/10002873509

External Habit and the Cyclicality of Expected Stock Returns

Tallarini, Thomas D. - 2009

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/10012722223

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

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

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

Overparameterization in the seminonparametric density estimation

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

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

Tort liability and obstetricians' care levels

Sloan, Frank A.; Entman, Stephen S.; Reilly, Bridget A.; … - In: International review of law and economics 17 (1997) 2, pp. 245-260

Persistent link: https://www.econbiz.de/10001222344

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