Luxury Goods and the Equity Premium

By Yacine Aït-Sahalia, Jonathan A. Parker, Moto Yogo. 2004

410 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fe74bfbf63c5bd0f45317fc32bfc27f9c9011b58

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Citations in the corpus

A Skeptical Appraisal of Asset Pricing Tests (2010, neutral): “…output and investment (Cochrane, 1996; Vassalou, 2003; Li, Vassalou, and Xing, 2006), growth in luxury, durable, and future consumption (Ait-Sahalia, Parker, and Yogo, 2004; Bansal, Dittmar, and Lundblad, 2005; Parker and Julliard, 2005; Yogo, 2006; All rights reserved. ans, Wayne…”
A parsimonious macroeconomic model for asset pricing (2009, methodology): “We choose the two parameters that are free at this point ; " to match two empirical targets: (1) the volatility of H-P ltered quarterly output (1:89%) and (2) an annual Sharpe ratio of 0:25.”
Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns (2007, background): “In equation (2) given above, Ri;t+j denotes the excess return on an arbitrary asset, 3 Lynch (1996) and Gabaix and Laibson (2001) examine economies where investors make consumption-investment decisions at di¤erent but infrequent points in time.”
The Price of Wine (2015, positive): “The model ties the values of consumption and ownership dividends to financial wealth, which reflects the discretionary nature of luxury goods (Goetzmann and Spiegel, 1995; Aït-Sahalia, Parker, and Yogo, 2004).”
Buying Beauty: On Prices and Returns in the Art Market (2013, neutral): “The importance of investment income for wealthy households, together with the discretionary nature of luxury consumption, may then induce positive correlation between art prices and financial asset values (Aït-Sahalia et al., 2004).”
Why Do Household Portfolio Shares Rise in Wealth (2010, positive): “In a similar line of work, Pakoš (2004) and Lochstoer (2009) explain the asset-pricing facts in a two-good model with luxury goods, building on the work of Aı̈t-Sahalia et al. (2004). We suspect that time-varying risk aversion would magnify the effects of heterogeneity in risk aversion demonstrated ”