Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
在一个一般均衡交换经济中，假设连续统的代理人具有“追赶琼斯”偏好且风险厌恶程度不同，分析财富动态再分配如何导致股票夏普比率的逆周期变化，并解释股票收益的许多经验特征。
We analyze a general equilibrium exchange economy with a continuum of agents who have "catching up with the Joneses" preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic redistribution of wealth among the agents leads to countercyclical time variation in the Sharpe ratio of stock returns. We show that both the conditional risk premium and the return volatility are negatively related to the level of stock prices. Therefore, our model exhibits many of the empirically observed properties of aggregate stock returns, for example, patterns of autocorrelation in returns, the "leverage effect" in return volatility, and long-horizon return predictability.