Habit formation: a resolution of the equity premium puzzle?
By Christopher Otrok, B. Ravikumar, Charles H. Whiteman. 2002
1,262 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7974982b621bd25921d58ba3aa4132cd2702cb4d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sydney C. Ludvigson
- Stijn Van Nieuwerburgh
- Hanno Lustig
- Michael W. Brandt
- A. Verdelhan
- Jessica A. Wachter
- Serena Ng
- Martin Lettau
In Finance
- Sydney C. Ludvigson
- Michael W. Brandt
- Stijn Van Nieuwerburgh
- A. Verdelhan
- Hanno Lustig
- Serena Ng
- Jessica A. Wachter
- Lars Peter Hansen
Citations in the corpus
- Sovereign Risk Premia (2011, positive): “We start o the seminal two-country models of Eaton and Gersovitz (1981) and Arellano (2008).”
- The ostrich effect: Selective attention to information (2009, background): “Prospect theory and models of loss aversion and habit formation all posit that utility depends on how outcomes deviate from pre-specified reference points (see Zeelenberg et al. 2000, Gul 1991; Constantinides 1990; Loomes and Sugden 1986; Bell 1985).”
- Income and happiness: Evidence, explanations and economic implications (2006, background): “Constantinides (1990) and Gali (1994) use a similar utility function to address the equity premium puzzle.”
- Habit formation and the persistence of monetary shocks (2005, neutral): “ln zt+1 = (1¡ 1⁄2z) ln z + 1⁄2z ln zt + 2z;t; (19) ln 1t+1 = (1¡ 1⁄21) ln1+ 1⁄21 ln1t + 21;t; (20) ln bt+1 = (1¡ 1⁄2b) ln b + 1⁄2b ln bt + 2b;t; (21)”
- A Lintner Model of Payout and Managerial Rents (2012, positive): “Our paper belongs to the strand of “internal habit” models such as Muellbauer (1988), Sundaresan (1989), Constantinides (1990), and Alessie and Lusardi (1997).”
- "Consumption and habits : evidence from panel data" (2002, positive): “Nevertheless, as shown by Constantinides (1990) and Boldrin, Christiano and Fisher (1997), habit formation breaks the link between the IES and the level of risk aversion, being its product below 1.”
- Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios (2013, neutral): “[34] Constantinides, George, 1990, Habit formation: A resolution of the equity premium, Journal of Political Economy 98, 519-543.”