The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Luxury Goods and the Equity Premium
Abstract
This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying utility as a nonhomothetic function of both luxury and basic consumption goods, we derive pricing equations and evaluate the risk of holding equity. Household survey and national accounts data mostly reflect basic consumption, and therefore overstate the risk aversion necessary to match the observed equity premium. The risk aversion implied by the consumption of luxury goods is more than an order of magnitude less than that implied by national accounts data. For the very rich, the equity premium is much less of a puzzle.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Instrumental Variables Regression with Weak Instruments
Staiger, D., & Stock, J. (1994) · doi:10.3386/t0151 · Cited by 5,302 · cited 1×
“First-order asymptotic inference can yield a poor approximation of the true statistical uncertainty when the instruments are weakly correlated with the endogenous regressor (see Nelson and Startz (1990) and Staiger and Stock (1997)).”
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
Cited by
Hsu, P.-H., Li, K., & Tsou, C.-Y. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3578215 · Cited by 665
Socially Responsible Investing in Good and Bad Times
Bansal, R., Wu, D. (., & Yaron, A. (2022) · The Review of Financial Studies · doi:10.1093/rfs/hhab072 · Cited by 165
The flagship format within the luxury fashion market
Nobbs, K., Moore, C. M., & Sheridan, M. (2012) · International Journal of Retail & Distribution Management · doi:10.1108/09590551211274928 · Cited by 69
Metadata
- Authors
- AÏT‐SAHALIA, Y., PARKER, J. A., & YOGO, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2004-12
- Volume
- 59
- Issue
- 6
- Pages
- 2959-3004
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3125279569
- Cited by
- 342
- References
- 3
- FWCI
- 28.44
- Type
- journal article
- Language
- en
- Open access
- closed
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- AÏT‐SAHALIA, Y., PARKER, J. A., & YOGO, M. (2004). Luxury Goods and the Equity Premium. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2004.00721.x
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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.
