Implications Of Keeping Up With The Joneses Behavior For The Equilibrium Cross Section Of Stock Returns PDF Download
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| Author | : Juan-Pedro Gomez |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Implications of Keeping up with the Joneses Behavior for the Equilibrium Cross Section of Stock Returns Book in PDF, ePub and Kindle
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.
| Author | : Itzhak Venezia |
| Publisher | : World Scientific |
| Total Pages | : 395 |
| Release | : 2016-10-27 |
| Genre | : Business & Economics |
| ISBN | : 9813100109 |
Download Behavioral Finance: Where Do Investors' Biases Come From? Book in PDF, ePub and Kindle
This unique volume presents new original research exploring factors that lead to investors behavioral biases. It discusses how features such as professionalism, sophistication, gender, media, and culture influence investors' decision-making in general, and in particular, how they generate (or limit) behavioral and cognitive biases. The effects of these factors on capital markets are also discussed. The book is based on the discussions and presentations at the First Israel Behavioral Finance Conference, which took place in Tel Aviv in May 2015. It examines in greater detail some of the key issues discussed at the conference.This is an innovative book in behavioral finance: it is the first to present an extensive collection of papers which discuss a comprehensive array of factors that influence or define investor character and analyzes these factors' effects on financial markets. The book is useful for readers interested in understanding the factors that influence investors' profiles and thus their behavioral biases. The book will be of great interest to researchers and students seeking a reference book which contains timely research on these areas of behavioral finance.
| Author | : Juan-Pedro Gomez |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download The Impact of Keeping up with the Joneses Behavior on Asset Prices and Portfolio Choice Book in PDF, ePub and Kindle
This paper studies the asset pricing and portfolio choice implications of keeping up with the Joneses preferences. In terms of portfolio choice, we provide sufficient conditions on the utility function under which no portfolio bias can arise across agents in equilibrium. Regarding asset prices, we find that under Joneses behavior asset prices are a function of the economy's aggregate consumption, the agents preference parameters, the wealth endowment distribution and the weighting across agents in the Joneses definition. We present necessary and sufficient conditions such that equilibrium prices are only a function of aggregate wealth. Non-financial, non-diversifiable income is introduced in the model. In the presence of Joneses behavior, an under-diversified equilibrium emerges where investors will bias their portfolios towards the financial assets that better hedge their exposure to the non-financial income risk.
| Author | : Kavous Ardalan |
| Publisher | : Routledge |
| Total Pages | : 393 |
| Release | : 2019-05-17 |
| Genre | : Business & Economics |
| ISBN | : 1000008274 |
Download Equity Home Bias in International Finance Book in PDF, ePub and Kindle
This book provides a comprehensive and critical analysis of research outcomes on the equity home bias puzzle – that people overinvest in domestic stocks relative to the theoretically optimal investment portfolio. It introduces place attachment – the bonding that occurs between individuals and their meaningful environments – as a new explanation for equity home bias, and presents a philosophically multi-paradigmatic view of place attachment. For the first time, a comprehensive and up-to-date review of the extant literature is provided, demonstrating that place attachment is a contributing factor to 22 different topics in which variations of home bias are present. The author also analyses the social-psychological underpinnings of place attachment, and considers the effect of multi-culturalism on the future of equity home bias. The book’s unique approach discusses the issues in conceptual terms rather than through data and statistical methods. This multi- and inter-disciplinary book is an invaluable resource for graduate students and researchers interested in economics, finance, philosophy, and/or methodology, introducing them to a new line of research.
| Author | : H. Kent Baker |
| Publisher | : Oxford University Press |
| Total Pages | : 701 |
| Release | : 2013-01-17 |
| Genre | : Business & Economics |
| ISBN | : 0199754659 |
Download International Finance Book in PDF, ePub and Kindle
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 divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.
| Author | : Vinod Chandrashekaran |
| Publisher | : |
| Total Pages | : 256 |
| Release | : 1994 |
| Genre | : |
| ISBN | : |
Download Essays on the Cross-sectional and Time-series Behavior of Stock Returns Book in PDF, ePub and Kindle
| Author | : Donald B. Keim |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download The Cross Section of Common Stock Returns Book in PDF, ePub and Kindle
A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
| Author | : Roméo Tédongap |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Consumption Volatility and the Cross-Section of Stock Returns Book in PDF, ePub and Kindle
I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage GMM, and then inferences from asset pricing tests reflect uncertainty coming from factor estimation. I show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons, while other factors play no or a secondary role. Value stocks and past long-term losers pay higher average returns mainly because they covary more negatively with these changes than what other stocks do.
| Author | : Yeung Lewis Chan |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2001 |
| Genre | : Economics |
| ISBN | : |
Download Catching Up with the Joneses Book in PDF, ePub and Kindle
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, as observed empirically. Therefore, our model exhibits many of the empirically observed properties of aggregate stock returns, e.g., patterns of autocorrelation in returns, the 'leverage effect' in return volatility and long-horizon return predictability. For comparison, otherwise similar representative agent economies with the same type of preferences exhibit counter-factual behavior, e.g., a constant Sharpe ratio of returns and procyclical risk premium and return volatility
| Author | : Silverio Foresi |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 1991 |
| Genre | : Investments |
| ISBN | : |
Download Do Firms "keep Up with the Joneses"? Book in PDF, ePub and Kindle
