Generational asset pricing, equity puzzles, and cyclicality

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• 作者：Alan Guoming Huang^a ; ^{aghuang@uwaterloo.ca" class="auth_mail" title="E-mail the corresponding author} ; Eric N. Hughson^b ; ^{eric.hughson@ClaremontMcKenna.edu" class="auth_mail" title="E-mail the corresponding author} ; J. Chris Leach^c ; ^{chris.leach@colorado.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：G12
• 刊名：Review of Economic Dynamics
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：22
• 期：Complete
• 页码：52-71
• 全文大小：692 K

文摘

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.