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• W2734829897 abstract "This paper introduces a CCAPMwith undiversifiable income shocks and external habit formation. Estimating it with U.S. state-level data, I find that it provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four census regions. The model also implies four assetpricing factors, which are the cross-sectional means of consumption and habit growth (capturing national systematic risk) and the cross-sectional variances of consumption and habit growth (capturing regional systematic risk). This four-factor model has greater power in explaining expected returns than the CCAPM of Breeden (1979). (JEL codes: E21, G12)" @default.
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• W2734829897 date "2006-08-07" @default.
• W2734829897 modified "2023-09-22" @default.
• W2734829897 title "The Significance of Regional Risk for Expected Returns" @default.
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• W2734829897 hasPublicationYear "2006" @default.
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