Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns
结合不可分散的收入冲击和外部习惯形成，提出一个消费资本资产定价模型，利用美国州级数据估计偏好参数，并发现包含区域风险的四因子模型比传统CCAPM更能解释预期收益。
This paper introduces a consumption-based capital asset pricing model (CCAPM) that combines undiversifiable income shocks and external habit formation. Using US state-level data, the paper provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four Census regions. The model also implies four asset pricing factors: the cross-sectional means of consumption growth and habit growth (capturing national systematic risk) and the cross-sectional variances of consumption growth and habit growth (capturing regional systematic risk). This four-factor model has greater power in explaining expected returns than the CCAPM described in Breeden (1979). , Oxford University Press.