Land of addicts? An empirical investigation of habit-based asset pricing models

Keyphrases

• Stochastic Discount Factor 100%
• Asset Pricing Model 100%
• Consumption CAPM 66%
• Estimation Time 33%
• Functional Form 33%
• Finite-dimensional 33%
• Time Preference 33%
• Dimensional Parameters 33%
• Habit Formation 33%
• Asset Returns 33%
• Consumption Growth 33%
• Fama 33%
• Preference Parameters 33%
• Asset Pricing Theory 33%
• Cross-sectional Stock Returns 33%
• Quarterly Data 33%
• Portfolio Equity 33%
• CAPM Model 33%
• Conditional Moment Restrictions 33%
• External Habit 33%
• Utility Parameters 33%
• Power Utility 33%
• Internal Habit 33%
• Book-to-market 33%
• Equity Returns 33%
• Fama-French Five-factor Model 33%

Economics, Econometrics and Finance

• Habit-Persistence Hypothesis 33%