Multiplicative habit introduces an additional consumption risk as a determinant of equity premium, and allows time preference and habit strength, in addition to risk aversion, to affect "price of risk". A model combining multiplicative habit and power-expo preferences cannot be rejected.

In this paper, I first develop a new approach to estimating the return on the aggregate wealth portfolio that accounts for human capital and financial assets other than stocks. Using the estimated return on the wealth portfolio and the quarterly U.S. aggregate data on consumption and asset...

We extend and test two models of aggregate asset pricing that feature status-seeking through accumulation of not only financial assets but also human capital. We use weak-identification robust tests to confront these models with U.S. data. Contrary to previous results, we find that the spirit of...