Implications of Keeping-Up-with-the-Joneses Behavior for the Equilibrium Cross Section of Stock Returns: International Evidence

• 成果类型: Article
• 署名作者: Gomez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando
• 署名单位: IE University; University of Southern California
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01515.x
• 发表日期: 2009
• 页码: 2703-2737
• 关键词: portfolio choice; risk premia; habit persistence; Expected returns; PRICING THEORY; asset returns; UNITED-STATES; consumption; MODEL; diversification

摘要

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.