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Habit-based Asset Pricing with Limited Participation Consumption

Bach, Christian; Møller, Stig Vinther - School of Economics and Management, University of Aarhus - 2010

We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard...

Persistent link: https://www.econbiz.de/10008509120

Consumption growth and the time-varying expected stock returns

Møller, Stig Vinther - In: Finance research letters 5 (2008) 3, pp. 129-136

Persistent link: https://www.econbiz.de/10003769867

Habit persistence, consumption based asset pricing, and time-varying expected returns

Møller, Stig Vinther - 2009

Persistent link: https://www.econbiz.de/10003839356

Habit persistence : explaining cross-sectional variation in returns and time-varying expected returns

Møller, Stig Vinther - In: Journal of empirical finance 16 (2009) 4, pp. 525-536

Persistent link: https://www.econbiz.de/10003900239

An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns

Engsted, Tom; Møller, Stig Vinther - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 213-227

Persistent link: https://www.econbiz.de/10008702348

Cross-sectional consumption-based asset pricing : the importance of consumption timing and the inclusion of severe crises

Engsted, Tom; Møller, Stig Vinther - 2011

Persistent link: https://www.econbiz.de/10008823504

Habit-based asset pricing with limited participation consumption

Bach, Christian; Møller, Stig Vinther - 2010

Persistent link: https://www.econbiz.de/10008651675

Habit-based asset pricing with limited participation consumption

Bach, Christian; Møller, Stig Vinther - In: Journal of banking & finance 35 (2011) 11, pp. 2891-2901

Persistent link: https://www.econbiz.de/10009373115

Habit formation, surplus consumption and return predictability : international evidence

Engsted, Tom; Hyde, Stuart; Møller, Stig Vinther - In: Journal of international money and finance 29 (2010) 7, pp. 1237-1255

Persistent link: https://www.econbiz.de/10009238968

Cross-sectional consumption-based asset pricing : a reappraisal

Engsted, Tom; Møller, Stig Vinther - In: Economics letters 132 (2015), pp. 101-104

Persistent link: https://www.econbiz.de/10011431410

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