Implications of Keeping-Up-with-the-Joneses behavior for the equilibrium cross section of stock returns: international evidence

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Implications of Keeping-Up-with-the-Joneses behavior for the equilibrium cross section of stock returns: international evidence

Gomez, Juan-Pedro - ; Priestley, Richard - ; Zapatero, Fernando - ;

This paper tests the cross-sectional implications of "keeping-up-with-the-Joneses" (KUJ) preferences in an international setting. When agents have KUJ preferences, in the presence of undiversifiable nonfinancial wealth, both world and domestic risk (the idiosyncratic component of domestic wealth) are priced, and the equilibrium price of risk of the domestic factor is negative. We use labor income as a proxy for domestic wealth and find empirical support for these predictions. In terms of explaining the cross-section of stock returns and the size of the pricing errors, the model performs better than alternative international asset pricing models..Printed journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	American Finance Association.,
Edisi	-
Subjek	Equilibrium Preferences CAPM studies Rates of return
ISBN/ISSN	221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data