GÃMEZ, JUAN-PEDRO; PRIESTLEY, RICHARD; ZAPATERO, FERNANDO - In: Journal of Finance 64 (2009) 6, pp. 2703-2737
This paper tests the cross-sectional implications of "keeping-up-with-the-Joneses" (KUJ) preferences in an international setting. When agents have KUJ preferences, in the presence of undiversifiable nonfinancial wealth, both world and domestic risk (the idiosyncratic component of domestic...