The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.
Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
Abstract
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.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
Mehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Asset Prices in an Exchange Economy
Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997) · doi:10.1515/9781400830213 · Cited by 5,008
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J., & Shiller, R. (1986) · National Bureau of Economic Research · doi:10.3386/w2100 · Cited by 2,425
Habit Formation: A Resolution of the Equity Premium Puzzle
Constantinides, G. M. (1990) · Journal of Political Economy · doi:10.1086/261693 · Cited by 2,126
Cited by
Margin-based Asset Pricing and Deviations from the Law of One Price
Gârleanu, N., & Pedersen, L. H. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr027 · Cited by 649
Stock returns, aggregate earnings surprises, and behavioral finance
Kothari, S. P., Lewellen, J., & Warner, J. B. (2006) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.016 · Cited by 380
A Parsimonious Macroeconomic Model for Asset Pricing
(2009) · Econometrica · doi:10.3982/ecta6658 · Cited by 363
Metadata
- Authors
- Chan, Y. L., & Kogan, L.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2002-12
- Volume
- 110
- Issue
- 6
- Pages
- 1255-1285
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3125208590
- Cited by
- 435
- References
- 46
- FWCI
- 36.69
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices. https://app.cochat.ai/papers/10.1086/342806
- The paper
- Chan, Y. L., & Kogan, L. (2002). Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices. Journal of Political Economy. https://doi.org/10.1086/342806
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
