AN EMPIRICAL-INVESTIGATION OF ASSET PRICING WITH TEMPORALLY DEPENDENT PREFERENCE SPECIFICATIONS

• 成果类型: Article
• 署名作者: HEATON, J
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.2307/2171913
• 发表日期: 1995
• 页码: 681-717
• 关键词: rational-expectations models; permanent income hypothesis; habit formation; equity premium; continuous-time; intertemporal substitution; interest-rates; consumption; moments; prices

摘要

Using a Simulated Method of Moments approach, I evaluate a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, I find evidence for the local substitution of consumption with habit formation occurring over longer periods of time. The interaction between these two effects is important. I also show that, when accounting for sampling error, a model with local substitution and long-run habit persistence is consistent with the Hansen and Jagannathan (1991) bounds.