Saving-based asset-pricing

Johannes K. Dreyer, Johannes Schneider and William T. Smith

Journal of Banking & Finance, 2013, vol. 37, issue 9, 3704-3715

Abstract: This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These “saving-based” preferences are related to models of habit formation and the spirit of capitalism, but incorporate the feature that people have anticipatory habits because they care about the future accumulation of wealth. We derive the Euler equations for these preferences and estimate them with GMM. Our estimates suggest that the preference for saving is economically significant.

Keywords: Equity premium puzzle; CCAPM; Saving-based preference; Wealth; Human capital; Asset pricing; Risk aversion (search for similar items in EconPapers)
JEL-codes: C13 C58 D91 E21 G11 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:9:p:3704-3715

DOI: 10.1016/j.jbankfin.2013.04.034

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