全球智库信息集成服务系统(G2TT): Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8607
来源ID	Working Paper 8607
	Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
	Yeung Lewis Chan; Leonid Kogan
发表日期	2001-11-01
出版年	2001
语种	英语
摘要	We analyze a general equilibrium exchange economy with a continuum of agents who have 'catching up with the Joneses' preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic redistribution of wealth among the agents leads to countercyclical time variation in the Sharpe ratio of stock returns. We show that both the conditional risk premium and the return volatility are negatively related to the level of stock prices, as observed empirically. Therefore, our model exhibits many of the empirically observed properties of aggregate stock returns, e.g., patterns of autocorrelation in returns, the 'leverage effect' in return volatility and long-horizon return predictability. For comparison, otherwise similar representative agent economies with the same type of preferences exhibit counter-factual behavior, e.g., a constant Sharpe ratio of returns and procyclical risk premium and return volatility.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Macroeconomics ; Money and Interest Rates
URL	https://www.nber.org/papers/w8607
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566213
推荐引用方式 GB/T 7714	Yeung Lewis Chan,Leonid Kogan. Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices. 2001.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w8607.pdf（359KB）	智库出版物		限制开放	CC BY-NC-SA	浏览