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- W2000505865 abstract "I present a generalized model that structurally nests both catching up with the Joneses (external habit) and time non-separable (internal habit) preference specifications. The model's asset pricing implications are confronted with the observed aggregate US consumption and asset returns data to determine the relative importance of catching up with the Joneses and internal habit formation. I show that long-horizon aggregate returns are more consistent with long-run habit as opposed to catching up with the Joneses preferences. This result supports the findings of Parker and Julliard (2005) that the ultimate consumption risk explains more of the cross-sectional variation in stock returns." @default.
- W2000505865 created "2016-06-24" @default.
- W2000505865 creator A5040035923 @default.
- W2000505865 date "2010-01-07" @default.
- W2000505865 modified "2023-09-24" @default.
- W2000505865 title "Internal vs. External Habit Formation: The Relative Importance for Asset Pricing" @default.
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