Surplus Consumption Ratio and Expected Stock Returns

Based on the Consumption{Based Asset Pricing Model (C)CAPM with habit formation of Campbell and Cochrane (1999), this paper provides empirical evidence in favour of the importance of habit persistence in asset pricing. Using U.S data, we show that the surplus consumption ratio is a strong predictor...

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Bibliographic details
Main Author: GHATASSI, Imen
Format: Journal Article
Language: English
Place of publication: ENSAE 2011
published in: Annales d'Economie et de Statistique no. 103; pp. 245 - 272
Data of publication: 2011
Series: Annales d'Economie et de Statistique
Online Access: available in Bonn?
Database: RePEc
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