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《Economic Research Journal》 2005-10
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Habit Formation,Heterogeneous Preferences and the Dynamics of Asset Prices: Pure Exchange Economy Case

Xiong Heping(Business School of Wuhan Universty,Advanced Study of Wuhan University)  
In this paper,Based on the Chan and Kogan、Bask and Cuoco models,we present a pure exchange equilibrium model of asset pricing.We consider two classes of investors with habits formations: one class have "external habit";the other class hasn't habit.We use the model to examine the effect of preference heterogeneity on investor's optimal consumption sharing rule and assets prices.We find habit formation will change investor's optimal consumption rule,wealth dynamic and consumption dynamic,but instantaneous Sharpe ratio of stock returns is as same as homogeneous case.
【Fund】: 武汉大学社会科学青年基金的资助。
【CateGory Index】: F224;
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