Ait-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - Woodrow Wilson School of Public and International … - 2002
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying household utility as a nonhomothetic function of the consumption of both a luxury good and a basic good, we derive pricing equations and evaluate the risk of holding equity. Household survey...
