Catalogue


Asset Prices under Habit Formation and Catching up with the Joneses [electronic resource] /
Andrew B. Abel.
imprint
Cambridge, Mass. National Bureau of Economic Research 1991.
format(s)
Book
Holdings
More Details
imprint
Cambridge, Mass. National Bureau of Economic Research 1991.
restrictions
Licensed for access by U. of T. users.
general note
November 1991.
abstract
This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States.
catalogue key
9821689
technical details
Mode of access: World Wide Web.
System requirements: Adobe [Acrobat] Reader required for PDF files.

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