Good-Specific Habit Formation and the Cross-Section of Expected Returns

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12397
• 发表日期: 2016
• 页码: 1699-1732
• 关键词: CONSUMPTION-BASED EXPLANATION; stock returns; equity premium; expectations; models

摘要

I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock, and have low asset pricing betas and stock return volatilities. I find supportive evidence for these predictions in the data.