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• W3111560169 abstract "This paper examines the prevalence for Europe of some well-documented seasonal patterns in consumption data, which allow classic consumption-based asset pricing models to omit an explicit habit specification. We use the Campbell-Cochrane habit model as a reference, proxying habit persistence by the serial correlation of consumer sentiment. Our results show that consumption data for the third and fourth quarters allow the classic power utility function to perform very similarly to the Campbell-Cochrane model, while the serial correlation of consumer sentiment helps improve the explanatory power of habits." @default.
• W3111560169 created "2020-12-21" @default.
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• W3111560169 date "2020-12-16" @default.
• W3111560169 modified "2023-09-25" @default.
• W3111560169 title "Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? Evidence from the European equity market" @default.
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• W3111560169 doi "https://doi.org/10.1080/1351847x.2020.1838936" @default.
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