An Empirical Investigation of the Campbell‐Cochrane Habit Utility Model
检验了坎贝尔和科克伦（1999）的习惯效用模型能否为25个法玛-法国投资组合生成有效的随机贴现因子，发现合理参数下模型满足必要条件，并指出与以往研究差异源于参数估计方法。
Abstract: This paper tests whether the Campbell and Cochrane (1999) habit utility model generates a valid stochastic discount factor for the 25 Fama‐French size/book‐to‐market and size/momentum sorted portfolios. Campbell and Cochrane (1999) derive a consumption based habit utility asset pricing model and calibrate it to aggregate US stock market data. However, they do not test whether their model is consistent with a larger cross section of asset returns. We test their model using the methodology of Hansen and Jagannathan (1991) and Burnside (1994) . In contrast to previous studies, we find that for reasonable parameter values, the model's stochastic discount factor is inside the Hansen‐Jagannathan bounds and therefore satisfies the necessary conditions for a valid stochastic discount factor. We trace the difference between our results and previous studies to the method used to estimate the model's parameters and the parameter values themselves.