Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets
扩展了习惯形成模型，纳入收入、财富、习惯和消费的异质性，发现习惯形成确实提高了股权溢价，但不足以解释数据中观测到的风险价格，原因在于家庭调整消费储蓄决策、投资组合选择以及风险定价主体构成的变化。
Habit formation has been proposed as a possible solution to the equity premium puzzle. This paper extends the class of models that support the habits explanation in order to account for heterogeneity in earnings, wealth, habits, and consumption. I find that habit formation does indeed increase the equity premium. However, contrary to earlier results, the habit hypothesis does not imply a price for risk as large as the one measured in the data. There are three reasons for this. First, households in a habits economy modify their consumption/savings decision. Second, they modify their portfolio choice. These two changes in behavior diminish the consumption fluctuations faced by households. Third, the composition of the set of agents pricing risk in the economy changes so that relatively better self-insured households end up pricing risk.