Habitudes de consommation et prime de risque sur le marché actions dans les pays du G7 (original) (raw)

Économie & prévision, 2001

Abstract

ABSTRACT The capital asset pricing model for consumption cannot explain observed equity premiums unless disproportionate risk aversion coefficients are used. The equity premium puzzle has been attributed in particular to the time-separability of consumer preferences. This paper investigates empirically the model''s ability to solve the puzzle if it is assumed that consumer behaviour shows habit formation. By estimating the model’s parameters for the G7 countries, we show that a consumption model with habit formation is able to account for returns on financial assets while using more reasonable preference parameters.

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