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- W2023119271 abstract "We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model, the unconditional and conditional world CAPMs and a three-factor international asset pricing model." @default.
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- W2023119271 date "2004-01-01" @default.
- W2023119271 modified "2023-09-27" @default.
- W2023119271 title "Consumption Habit and International Stock Returns" @default.
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- W2023119271 doi "https://doi.org/10.2139/ssrn.302942" @default.
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