Asset Prices Under Habit Formation and Reference-Dependent Preferences
在消费资产定价模型中引入习惯形成和损失厌恶，解释了股权溢价水平高且逆周期变化的现象，并用消费和资产回报数据检验了模型的条件矩约束。
AbstractThis article explains the high level and the countercyclical variation of the equity premium in a consumption-based asset pricing model with low large-scale risk aversion. Investors have gain-loss utility over consumption relative to slowly time-varying habit. Stocks deliver low returns in recessions when consumption falls below habit; investors therefore require a high premium for holding stocks. The model's conditional moment restrictions are tested on consumption and asset returns data. The empirical estimate of large-scale risk aversion is low, whereas the estimate of loss aversion agrees with prior experimental evidence.KEY WORDS: Asset pricingConsumptionEquity premiumHabit formationLoss aversion