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Habit Formation, Time-Varying Risk Aversion and the Cross-Section of Expected Returns

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  • Huafeng Chen
  • Michal Pakos

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  • Huafeng Chen & Michal Pakos, "undated". "Habit Formation, Time-Varying Risk Aversion and the Cross-Section of Expected Returns," GSIA Working Papers 2007-E27, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:-1156658598
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    File URL: https://student-3k.tepper.cmu.edu/gsiadoc/wp/2007-E27.pdf
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    Cited by:

    1. Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.

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