Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices
By Y. Chan, Leonid Kogan. Journal of Political Economy, 2002
452 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/19a2b7c68360ab7dff8ba01af6e5df59bd414b5b
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Citations in the corpus
- Empirics of the Identification of Social Interactions: An Evaluation of the Approaches and Their Results (2006, unknown): “, 1992), labor force participation (Topa, 2001), household demand (Case, 1991), and stock returns (Chan and Kogan, 2002).”
- Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2011, unknown): “Models with heterogeneous beliefs (or preferences) often have the undesirable property of nonstationarity in the sense that one type of agents will dominate in the long-run (a notable exception is (Chan and Kogan 2002)).”
- Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk (2003, unknown): “…as the difference between consumption and habit (additive habit models, such as Constantinides (1990) or Campbell and Cochrane (1999)), while in others utility is a function of the ratio between consumption and habit (multiplicative habit models, such as Abel (1990) or Chan and Kogan (2002)).”
- Sources of Entropy in Representative Agent Models (2011, unknown): “The asset pricing literature includes notable contributions by Abel (1992), Campbell and Cochrane (1999), Chan and Kogan (2002), Constantinides (1990), Heaton (1993, 1995), and Sundaresan (1989).”
- Estimating Panel Models With Internal and External Habit Formation (2010, background): “For models in which the determinants of the habit are external to the consumer (external habit), consumers’ consumption habits are influenced by the consumption decisions of other consumers (Abel 1990; Gali 1994; Campbell and Cochrane 1999; Chan and Kogan 2002; Wachter 2006).”
- Risk, uncertainty, and asset prices (2005, unknown): “rrft = − ln (β) + γ (μc − μq) + γρcuut + φrqqt + φrvvt (22)”
- Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “7See Chan and Kogan (2002) for a discussion of this specification for the utility function, and why it is still appropriate to interpret γ as the coefficient of relative risk aversion.”
- Asset Pricing and the Credit Market (2012, unknown): “Further allowing the feature of “keeping up with the Joneses” in investor preferences in a similar setting, Chan and Kogan (2002) consider the dynamics of stock prices.”
- Consumption-Based Asset Pricing (2002, unknown): “…with different degrees of risk aversion or time preference, possibly in the presence of market frictions or portfolio insurance constraints, can lead to time-variation in the market price of risk [Dumas (1989), Grossman and Zhou (1996), Wang (1996), Sandroni (1999), Chan and Kogan (2002)].”
- A parsimonious macroeconomic model for asset pricing (2009, unknown): “Chan and Kogan (2002) were able to generate a stationary wealth distribution by introducing “benchmark consumption levels” into preferences.”
- Portfolio and Financing Adjustments for U.S. Banks: Some Empirical Evidence (2008, unknown): “…in the empirical work of Fama and French (1989), Ferson and Harvey (1991), Hardouvelis and Wizman (1992), Harrison and Zhang (1999), and Harvey (2001) among others, and the 11 theoretical work of Campbell and Cochrane (1999), Chan and Kogin (2002), and Bekaert, Engstrom, and Grenadier (2004).”
- A Rational Theory of Mutual Funds' Attention Allocation (2016, unknown): “(17)See Dumas (1989), Chan and Kogan (2002), and Garleanu and Panageas (2012), among others.”