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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership

Ehling, Paul - Econometric Society - 2004

In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...

Persistent link: https://www.econbiz.de/10005328956

An Empirical Investigation of Habit-Based Asset Pricing Models

Ludvigson, Sydney C.; Chen, Xiaohong - Econometric Society - 2004

best explains asset pricing data. This paper studies the ability of a general class of habit-based asset pricing models to … match the conditional moment restrictions implied by asset pricing theory. Our approach is to treat the functional form of … about the specification of habit-based asset pricing models, and to formally test the framework's ability to explain stock …

Persistent link: https://www.econbiz.de/10005328992

Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571