search query: @indexterm incomplete markets / total: 34
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| Author: | Pijoan-Mas, J. |
| Title: | Pricing risk in economies with heterogenous agents and incomplete markets |
| Journal: | Journal of the European Economic Association
2007 : SEP, VOL. 5:5, p. 987-1015 |
| Index terms: | incomplete markets risk analysis risk |
| Freeterms: | heterogeneity |
| Language: | eng |
| Abstract: | Habit formation has been proposed as a possible solution to the equity premium puzzle. The class of models that support the habits explanation is extended here in order to account for heterogeneity in earnings, wealth, habits and consumption. It is found that habit formation increases the equity premium. However, the habit hypothesis does not imply a price for risk as large as the one measured in the data. |
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