Expected Returns and Habit Persistence
基于有限期线性习惯模型，论证预期收益与剩余消费呈反向关系，并用股票和债券数据验证了该关系，但标准滞后信息变量对预期收益的可预测变化中，不到30%可由剩余消费解释。
Using a consumption-based asset pricing model with infinite-horizon nonlinear habit formation, Campbell and Cochrane (1999) show that low consumption in surplus of habit should forecast high expected returns. This article argues that the finite-horizon linear habit model also implies an inverse relation between expected returns and surplus consumption. This article also presents empirical evidence, which indicates that expected returns on stocks and bonds vary with surplus consumption implied by the habit models. The volatility of returns and the reward to volatility are also related to surplus consumption. However, less than 30% of the predictable variation of expected returns, using standard lagged information variables, is attributed to surplus consumption.