Replication data for: By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data. It explains the short-and long-run equity premium puzzles despite a low and constant risk-free rate. The results are essentially the same whether we model stocks as a claim to volatile dividends poorly correlated with consumption. The model is driven by an independently and identically distributed consumption growth process and adds a slow- moving external habit to the standard power utility function. These features generate slow countercyclical variations in risk premia. The model posits a fundamentally novel description of risk premia: Investors fear stock primarily because they do poorly in recessions unrelated to the risks of long-run average consumption growth.

本文提出了一个基于消费的资产定价模型，可解释诸多动态资产定价异象，包括股价的顺周期波动、股票超额收益的长期可预测性，以及股市波动率的逆周期波动。该模型可基于消费数据还原股票价格的多数历史走势。尽管无风险利率较低且恒定，该模型仍可解释短期与长期的股权溢价之谜。若将股票建模为与消费相关性较弱的波动股利求偿权，所得结果基本一致。该模型以独立同分布的消费增长过程为驱动因素，并在标准幂效用函数中引入了缓慢变动的外部习惯形成项。这些特征使得风险溢价呈现出缓慢的逆周期波动。该模型对风险溢价给出了根本性的全新阐释：投资者对股票的担忧主要源于，在与长期平均消费增长风险无关的经济衰退期，股票表现不佳。