Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
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Publisher
Chicago: University of Chicago Press
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Language
English
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Publisher
Chicago: University of Chicago Press
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Scope and Contents
Contents
We introduce a “bad environment–good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a...
Alternative Titles
Full title
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_econis_primary_1006243631
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_econis_primary_1006243631
Other Identifiers
ISSN
0022-3808
E-ISSN
1537-534X
DOI
10.1086/691450
