Sentiment or habits: Why not both?
将消费者情绪作为风险因子纳入Campbell-Cochrane习惯模型，检验其对资产价格的影响，发现情绪风险的市场价格远低于基本面，且情绪因子未改善模型表现，但降低了风险厌恶系数。
Abstract Habits and sentiment are important psychological behaviors in asset pricing. In this article I nest consumer sentiment as a risk factor into the Campbell–Cochrane (CC) habit model and examine its impact on asset prices. The model provides an economic mechanism for the pricing of sentiment risk through its impact on habit sensitivity and equilibrium habit levels but finds its market price of risk much lower than fundamentals. The additional sentiment factor does not improve the CC model, with both models returning a matched moments error of from 1980Q1 to 2021Q4. The sentiment factor, however, subsumes risk aversion with a lower resulting risk coefficient than the CC model without sentiment. Furthermore, the model shows that during the COVID period, the risk premium was driven more by consumption growth than sentiment.