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Non-addictive Habit Formation and the Equity Premium Puzzle

✍ Scribed by Milind M. Shrikhande

Book ID
108559548
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
429 KB
Volume
3
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.

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This paper examines the behavior of asset returns as predicted by the consumptionbased capital asset pricing model within an artificial economy that includes a low probability, crash state in consumption and dividends. It is demonstrated that the behavior of agents' intertemporal marginal rate of su