Saving-Based Asset Pricing

Johannes Kabderian Dreyer, Johannes Schneider, William T. Smith

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstract

This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These “saving-based” preferences are related to models of habit formation and the spirit of capitalism, but incorporate the feature that people have anticipatory habits because they care about the future accumulation of wealth. We derive the Euler equations for these preferences and estimate them with GMM. Our estimates suggest that the preference for saving is economically significant.
OriginalsprogEngelsk
TidsskriftJournal of Banking & Finance
Vol/bind37
Udgave nummer9
Sider (fra-til)3704–3715
ISSN0378-4266
DOI
StatusUdgivet - 11 maj 2013

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