| Tekijä: | Campbell, J. Cochrane, J. |
| Otsikko: | By force of habit: a consumption-based explanation of aggregate stock market behavior |
| Lehti: | Journal of Political Economy
1999 : APR, VOL. 107:2, p. 205-251 |
| Asiasana: | POLITICAL ECONOMY CONSUMPTION STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | The authors present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data. It explains the short- and long-run equity premium puzzles despite a low and constant risk-free rate. |
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