We reexamine the empirical relevance of habit formation preferences with micro-data on households' portfolio choices. We first derive the analytical solution to the risky asset share in a theoretical model with both habits and time-varying labor income. Our analytical results indicate that (1)...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...