Generational Asset Pricing, Equity Puzzles, and Cyclicality

Alan Guoming Huang, Eric Hughson and J. Chris Leach
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Alan Guoming Huang: University of Waterloo
Eric Hughson: Claremont McKenna College
J. Chris Leach: University of Colorado

Review of Economic Dynamics, 2016, vol. 22, 52-71

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. (Copyright: Elsevier)

Keywords: Generational uncertainty; Pricing kernel domination; Equity premium puzzles; Boom-bust cycle (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.red.2016.06.003

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