Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
收藏NBER2011-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w16950
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资源简介：
In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log surplus
提供机构：
美国国家经济研究局
创建时间：
2011-04-01
