Saving-Based Asset Pricing and Leisure

Johannes Dreyer (), Johannes Schneider and William Smith
Additional contact information
Johannes Dreyer: ISE, Roskilde University
Johannes Schneider: WFI, Catholic University of Eichsta ̈tt
William Smith: Department of Economics, University of Memphis

Annals of Economics and Finance, 2020, vol. 21, issue 2, 507-526

Abstract: This paper integrates two strands of the asset-pricing literature. Dreyer et al. (2013) developed and estimated a model of "saving-based" preferences that provides a plausible resolution of the equity premium paradox; Uhlig (2007) has emphasized the importance of incorporating labor supply into models of asset pricing. Here we analyze the implications for asset pricing of incorporating non-separable leisure into a model with saving-based preferences. We derive the Euler equations for this class of preferences and show that our parameter estimates are statistically significant, indicating that investors possess both preferences for savings and for leisure in the American economy.

Keywords: Equity premium puzzle; CCAPM; Leisure; Wealth; Saving-based preference; Asset pricing (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2020:v:21:i:2:dreyerschneidersmith

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