Implications of Keeping up with the Joneses Behavior for the Equilibrium Cross Section of Stock Returns

Released on by Juan-Pedro Gomez
preview-18

  • Implications of Keeping up with the Joneses Behavior for the Equilibrium Cross Section of Stock Returns Book Detail

  • Author : Juan-Pedro Gomez
  • Release Date : 2015
  • Publisher :
  • Genre :
  • Pages :
  • ISBN 13 :
  • File Size : 6,6 MB
DOWNLOAD BOOK

Implications of Keeping up with the Joneses Behavior for the Equilibrium Cross Section of Stock Returns by Juan-Pedro Gomez PDF Summary

Book Description: This paper tests the cross-section implications of quot;keeping up with the Jonesesquot; (KUJ) preferences in an international setting. When agents have KUJ preferences, in the presence of un-diversifiable non-financial 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. Our test includes securities from the US, UK, Japan and Germany. In terms of explaining the cross-section of stocks returns and the size of the pricing errors, the model based on relative wealth concerns performs better than alternative international asset pricing models.

Disclaimer: www.yourbookbest.com does not own Implications of Keeping up with the Joneses Behavior for the Equilibrium Cross Section of Stock Returns books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Equity Home Bias in International Finance

Equity Home Bias in International Finance

File Size : 24,24 MB
Total View : 7552 Views
DOWNLOAD

This book provides a comprehensive and critical analysis of research outcomes on the equity home bias puzzle – that people overinvest in domestic stocks relat

International Finance

International Finance

File Size : 96,96 MB
Total View : 7943 Views
DOWNLOAD

Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be di