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Cited by 2,001

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Asset Prices under Habit Formation and Catching up with the Joneses

Open access
Abel, Andrew·1990·National Bureau of Economic Research
DOI 10.3386/w3279
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Abstract

This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States.

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Metadata

Authors
Abel, A.
Venue
National Bureau of Economic Research
Publisher
National Bureau of Economic Research
Published
1990-03
DOI
10.3386/w3279
OpenAlex
W2134854408
Cited by
2,001
References
0
Type
report
Language
en
Open access
green

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CoChat. (2026). Citation check: Asset Prices under Habit Formation and Catching up with the Joneses. https://app.cochat.ai/papers/10.3386/w3279
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Abel, A. (1990). Asset Prices under Habit Formation and Catching up with the Joneses. National Bureau of Economic Research. https://doi.org/10.3386/w3279

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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.