A Single-Factor Consumption-Based Asset Pricing Model
We propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its endogenous certainty equivalent. This certainty equivalent is derived from generalized disappointment-aversion preferences, and it is located approximately 1 standard deviation bel...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
2019
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| Online Access: | View Fulltext in Publisher |