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Why Surplus Consumption in the Habit Model May Be Less Persistent than You Think

Lynch, Anthony W. - 2010

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. This paper … finds the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected …

Persistent link: https://www.econbiz.de/10013146708

Why surplus consumption in the habit model may be less persistent than you think

Lynch, Anthony W.; Randall, Oliver - 2011

"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …

Persistent link: https://www.econbiz.de/10009006789

Why Surplus Consumption in the Habit Model May be Less Persistent than You Think

Lynch, Anthony W. - 2011

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …

Persistent link: https://www.econbiz.de/10012461707

Habit persistence, consumption based asset pricing, and time-varying expected returns

Møller, Stig Vinther - 2009

Persistent link: https://www.econbiz.de/10003839356

Optimal endowment destruction under Campbell-Cochrane habit formation

Ljungqvist, Lars; Uhlig, Harald - 2009

Persistent link: https://www.econbiz.de/10003822133

Optimal Endowment Destruction under Campbell-Cochrane Habit Formation

Ljungqvist, Lars - 2009

Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence level, or "external habit", that adapts nonlinearly to current and past average consumption in the...

Persistent link: https://www.econbiz.de/10012463875

Optimal Endowment Destruction Under Campbell-Cochrane Habit Formation

Ljungqvist, Lars - 2009

Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence level, or quot;external habitquot;, that adapts nonlinearly to current and past average consumption...

Persistent link: https://www.econbiz.de/10012764628

Using long-run consumption-return correlations to test asset pricing models

Yu, Jianfeng - In: Review of economic dynamics 15 (2012) 3, pp. 317-335

Persistent link: https://www.econbiz.de/10009661462

Consumption growth, preference for smoothing, changes in expectations and risk premium

Armada, Manuel José da Rocha; Sousa, Ricardo M.; … - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 80-97

Persistent link: https://www.econbiz.de/10011574359

Testing consumption optimality using aggregate data

Gomes, Fábio A.; Issler, João Victor - In: Macroeconomic dynamics 21 (2017) 5, pp. 1119-1140

Persistent link: https://www.econbiz.de/10011805445