—mar 11^* J Working Paper Alfred P. Sloan School of Management an Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications an Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications an Empirical Investigation of Asset Pricing w

@inproceedings{Heaton2008mar1J,
  title={—mar 11^* J Working Paper Alfred P. Sloan School of Management an Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications an Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications an Empirical Investigation of Asset Pricing w},
  author={John C. Heaton},
  year={2008}
}
In this paper, I empirically investigate a representative consumer model in which the consumer is assumed to have temporally dependent preferences of several forms. Comparing the model's implications for asset prices to those of a time-additive model, I find substantial evidence for the local substitutability of consumption with habit formation occurring over longer periods of time. Neither local substitution nor habit formation alone is found to be significant, so that the interaction between… CONTINUE READING
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