Aldrich, Eric M. - In: Journal of Financial Econometrics 9 (2011) 4, pp. 589-618
We use recently proposed Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long-run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We improve these Bayesian methods so that they can...