Habit formation and the equity-premium puzzle: a skeptical view

DOI10.1007/S10436-006-0041-3MaRDI QIDQ665776zbMATHOpenAlexFDO

Authors Stefano G. Athanasoulis, Oren Sussman

Publication date 6 March 2012

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-006-0041-3

zbMATH Keywords

habit formationequity premiumrisk-free interest rate

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• A resolution of the equity premium puzzle
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• HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY
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Cites work

• HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY
• Microeconomic theory
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH

Cited in

(13)

• Asset pricing with multiplicative habit and power-expo preferences
• Equity premium with distorted beliefs: a puzzle
• Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
• Occupational choice and the private equity premium puzzle
• Risky asset allocation and consumption rule in the presence of background risk and insurance markets
• Intertemporal substitution and equity premium
• Asset Prices in an Exchange Economy with Habit Formation
• A resolution of the equity premium puzzle
• Consumption and saving with habit formation and durability.
• The equity premium: a deeper puzzle
• Predictability and habit persistence
• Why do risk premia vary over time? a theoretical investigation under habit formation
• Utility-implied term structures of equity risk premia

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