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The Journal of Finance Volume 71, Issue4, August 2016, Pages1699-1732
特定好习惯的形成与横截面股票期望收益
作者:Julies H. Van Binsbergen (University of Pennsylvania)
摘要:本文在一般均衡的框架下研究资产价格,在该框架下代理商习惯于购买个别品种的商品而非消费束中的所有商品。由垄断竞争性厂商生产的产品,其需求弹性由消费者习惯所决定。当企业生产消费者更倾向于购买的产品时,该产品就有较低的需求弹性,从而企业对产品的定价就相对较高,然而该行为却会导致公司股票期望收益的降低,从而有较低的资产定价bata值和股票收益波动。本文为股票期望收益的预测提供了数据的支持。
Good-Specific Habit Formation and the Cross-Section of Expected Returns
Julies H. Van Binsbergen (University of Pennsylvania)
ABSTRACT
I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock, and have low asset pricing betas and stock return volatilities. I find supportive evidence for these predictions in the data.
原文链接:
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12397/abstract
翻译:秦秀婷
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