Good-Specific Habit Formation and the Cross-Section of Expected Returns
نویسندگان
چکیده
منابع مشابه
Habit Formation and the Cross Section of Stock Returns¤
We develop an external habit persistence model where the time series of the aggregate portfolio and the cross section of stock returns are simultaneously studied and tested. By applying a slightly modi...ed version of the model of Campbell and Cochrane (1999), we obtain closed form solutions for individual securities prices and returns and a full characterizations of the dynamics of the risk-re...
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Non-linear external habit persistence models, which feature prominently in the recent “equity premium” asset pricing and macroeconomics literature, generate counterfactual predictions in the cross-section of stock returns. In particular, we show that in the absence of crosssectional heterogeneity in firms’ cash-flow risk, these models produce a “growth premium,” that is, stocks with high price-...
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Recent work by Diether, Malloy, and Scherbina (2002) has established a negative relationship between stock returns and the dispersion of analysts’ earnings forecasts. I offer a simple explanation for this phenomenon based on the interpretation of dispersion as a proxy for unpriced information risk arising when asset values are unobservable. The relationship then follows from a general options-p...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2016
ISSN: 0022-1082
DOI: 10.1111/jofi.12397