The Journal of Finance Volume 71, Issue4, August 2016, Pages1699-1732

特定好習慣的形成與橫截面股票期望收益

作者：Julies H. Van Binsbergen (University of Pennsylvania)

摘要：本文在一般均衡的框架下研究資産價格，在該框架下代理商習慣于購買個别品種的商品而非消費束中的所有商品。由壟斷競争性廠商生産的産品，其需求彈性由消費者習慣所決定。當企業生産消費者更傾向于購買的産品時，該産品就有較低的需求彈性，從而企業對産品的定價就相對較高，然而該行為卻會導緻公司股票期望收益的降低，從而有較低的資産定價bata值和股票收益波動。本文為股票期望收益的預測提供了數據的支持。

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.

原文鍊接：

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jofi.12397/abstract

翻譯：秦秀婷