This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) catching up with the Joneses utility functions that depend on the consumer\u27s level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States
When habits are introduced multiplicatively in a capital accumulation model, the consumers' objectiv...
In this paper, I investigate the scope of a model with exogenous habit formation - or `catching up w...
This paper examines a new set of implications of existing asset pricing models for the corre-lation ...
This paper introduces a utility function that nests three classes of utility functions: (1) time-sep...
A popular explanation of aggregate stock market behavior suggests that assets are priced as if there...
A leading explanation of aggregate stock market behavior suggests that assets are priced as if there...
A popular explanation of aggregate stock market behavior suggests that assets are priced as if there...
This article explains the high level and the countercyclical variation of the equity premium in a co...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
This paper studies the behaviour of asset prices in relation to consumption and other business cycle...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and ...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
When habits are introduced multiplicatively in a capital accumulation model, the consumers' objectiv...
In this paper, I investigate the scope of a model with exogenous habit formation - or `catching up w...
This paper examines a new set of implications of existing asset pricing models for the corre-lation ...
This paper introduces a utility function that nests three classes of utility functions: (1) time-sep...
A popular explanation of aggregate stock market behavior suggests that assets are priced as if there...
A leading explanation of aggregate stock market behavior suggests that assets are priced as if there...
A popular explanation of aggregate stock market behavior suggests that assets are priced as if there...
This article explains the high level and the countercyclical variation of the equity premium in a co...
This paper provides a closed-form solution to a standard asset pricing model with habit formation wh...
It is now well known that the RBC models have enjoyed successful results in explaining the dynamics ...
This paper studies the behaviour of asset prices in relation to consumption and other business cycle...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and ...
This paper proposes a habit formation model that explains the failure of the expectations hypothesis...
When habits are introduced multiplicatively in a capital accumulation model, the consumers' objectiv...
In this paper, I investigate the scope of a model with exogenous habit formation - or `catching up w...
This paper examines a new set of implications of existing asset pricing models for the corre-lation ...