Using a consumption-based asset pricing model with infinite-horizon nonlinear habit formation, Campbell and Cochrane (1999) show that low consumption in surplus of habit should forecast high expected returns. This article argues that the finite-horizon linear habit model also implies an inverse...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann <italic>et al</italic>., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results...