Catching Up with the Joneses
Heterogeneous Preferences and the Dynamics of Asset Prices
Bibliographic Data
| ID | 10177408 |
|---|---|
| Authors | Yeung Lewis Chan, Leonid Kogan (0000-0002-1195-6636, Massachusetts Institute of Technology) |
| Year | 2002 |
| Volume | 110 |
| Issue | 6 |
| Pages | 1255-1285 |
| Publication date | 2002-12-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/342806 |
| OpenAlex | W3125208590 |
| Language | EN |
| Citations received | 6 |
| References cited | 41 |
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. Therefore, our model exhibits many of the empirically observed properties of aggregate stock returns, for example, patterns of autocorrelation in returns, the "leverage effect" in return volatility, and long-horizon return predictability
Autocorrelation · Capital asset pricing model · Econometrics · Economics · Financial economics · Growth model · Keeping up with the Joneses · Microeconomics · Monetary economics · Predictability · Sharpe ratio · Stock (firearms · Volatility (finance · Complex Systems and Time Series Analysis · Economic theories and models · Financial Markets and Investment Strategies · Mathematics
The Econometrics of Financial Markets
Asset Prices in an Exchange Economy
The equity premium
Continuous Auctions and Insider Trading
Expected stock returns and volatility
The Variation of Economic Risk Premiums
By Force of Habit
Habit Formation
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Asset Pricing with Heterogeneous Consumers and Limited Participation
Asset Pricing with Heterogeneous Consumers
A Model of Competitive Stock Trading Volume
| Unique citing works | 6 |
|---|---|
| Citations per year | 0,33 |
| Citation span | 2008 - 2025 (18) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 6 |