Saving-Based Asset Pricing and Leisure

Johannes Kabderian Dreyer*, Johannes Schneider, William T. Smith

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review


This paper integrates two strands of the asset-pricing literature. Dreyer et al. (2013) developed and estimated a model of “saving-based” preferences that provides a plausible resolution of the equity premium paradox; Uhlig (2007) has emphasized the importance of incorporating labor supply into models of asset pricing. Here we analyze the implications for asset pricing of incorporating non-separable leisure into a model with saving-based preferences. We derive the Euler equations for this class of preferences and show that our parameter estimates are statistically significant, indicating that investors possess both preferences for savings and for leisure in the American economy.
Original languageEnglish
JournalAnnals of Economics and Finance
Issue number2
Pages (from-to)507-526
Number of pages20
Publication statusPublished - 2020


  • Equity premium puzzle
  • Leisure
  • Wealth
  • Saving-based preference
  • Asset pricing

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