Showing 1 - 5 of 5
We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with...
Persistent link: https://www.econbiz.de/10005100531
We ask whether young agents prefer to work in different-age or same-age production pairs in an overlapping-generations model where wages are reputation-based. We find that inter-generational teams (i) produce more heterogeneity in the old workers' reputations, (ii) generate a greater share of...
Persistent link: https://www.econbiz.de/10005100566
His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...
Persistent link: https://www.econbiz.de/10005100831
We construct a unique data set from succession and bankruptcy sales in Mauritius to investigate the determinants of slave prices between 1825 and 1827. We find that males, females sold with children, skilled slaves and slaves sold during the peak sugar cane harvest season all fetched higher...
Persistent link: https://www.econbiz.de/10005100832
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...
Persistent link: https://www.econbiz.de/10005101001