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• W2278839440 abstract "We introduce a “bad environment–good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices and their comovements with the macroeconomic outlook. In particular, when option-implied volatility is high—as measured, for instance, by the VIX index—the distribution of consumption growth is more negatively skewed." @default.
• W2278839440 created "2016-06-24" @default.
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• W2278839440 date "2017-06-01" @default.
• W2278839440 modified "2023-10-01" @default.
• W2278839440 title "Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals" @default.
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• W2278839440 doi "https://doi.org/10.1086/691450" @default.
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