Asset Pricing in a Neoclassical Model With Limited Participation

Topics:
Investment and Capital Markets
Tags:
Asset,
Operational Planning,
Operational Accounting,
New York University,
Income,
Finance,
Business Operations,
Asset Pricing,
Asset Management,
Specification
Source:
New York University

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Overview: This paper shows that habit formation is perhaps not what it is commonly perceived to be an extension of preference specification for the representative agent. Rather it captures a dynamic interaction between aggregate financial income and aggregate labor income. The paper also shows that existing specifications of consumption habits can be extended to incorporate a stochastic shock, which is interpreted as the labor income shock.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 701KB | Date: Sep 2001 | Pages: 47

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