Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7388242 | Review of Economic Dynamics | 2016 | 20 Pages |
Abstract
To examine the potential role cohort preferences play in asset pricing cycles and puzzles, we consider a model with stochastic generational variation in preferences. In our structure, the pricing kernel reflects an investing generation's consumption growth from mid-life to retirement rather than aggregate consumption's growth over the same time period. Generational domination of the pricing kernel provides insight into rationalizing three widely-recognized asset pricing puzzles and suggests one potential contributor to boom-bust patterns in stock market returns.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alan Guoming Huang, Eric N. Hughson, J. Chris Leach,