期刊
ECONOMICS LETTERS
卷 72, 期 2, 页码 151-157出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/S0165-1765(01)00432-3
关键词
disappointment; anticipation; equity premium; asset pricing; forward backward SDU
类别
In an intertemporal setting we model the anticipation-disappointment effect through a habit formation process which is a function of past consumption and of past expected utility. We show that in equilibrium the anticipation effect reduces the risk premium, whereas the disappointment effect induces a higher risk premium. (C) 2001 Elsevier Science BN. All rights reserved.
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