An empirical investigation of asset pricing with temporally dependent preference specifications

By J. Heaton. 2011

141 citations recorded by the source corpus.

Using a simulated method of moments approach, the author evaluates a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, he finds evidence for the local substitution of consumption with habit formation occurring over longer periods of time. The interaction between these two effects is important. The author also shows that, when accounting for sampling error, a model with local substitution and long-run habit persistence is consistent with the Hansen and Jagannathan (1991) bounds. Copyright 1995 by The Econometric Society.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/9cdea96463ac350a376122c73591b06574a3d727

Citations in the corpus

• Long-Run Stockholder Consumption Risk and Asset Returns (2009, unknown): “We adopt the recursive preference framework, which allows us to structurally interpret our empirical results and to remain consistent with prior work on long-run consumption risk (Bansal and Yaron (2004), and Hansen, Heaton, and Li (2005)).2 To implement the recursive preference approach, we use the”