| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10503 |
| 来源ID | Working Paper 10503 |
| Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior | |
| Xiaohong Chen; Sydney C. Ludvigson | |
| 发表日期 | 2004-05-24 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and to estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, the habit formation is better described as internal rather than external, and the estimated time-preference parameter and the power utility parameter are sensible. In addition, the estimated habit function generates a positive stochastic discount factor (SDF) proxy and performs well in explaining cross-sectional stock return data . We find that an internal habit SDF proxy can explain a cross-section of size and book-market sorted portfolio equity returns better than (i) the Fama and French (1993) three-factor model, (ii) Lettau and Ludvigson (2001) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM, and (v) the classic consumption CAPM. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w10503 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568132 |
| 推荐引用方式 GB/T 7714 | Xiaohong Chen,Sydney C. Ludvigson. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10503.pdf（608KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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