The Spirit of Capitalism and Asset Pricing: An Empirical Investigation
AbstractWe extend and test two models of asset pricing that feature status-seeking through accumulation of not only financial and real assets but also human capital. We use weak-identification robust tests to confront these models with U.S. aggregate data. Contrary to previous results, we find that the spirit of capitalism hypothesis, modeled as either direct preference for wealth or pursuit of relative wealth status, is rejected. Therefore, adding status motive alone to an otherwise standard model may not be sufficient to resolve the equity premium puzzle.
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Bibliographic InfoArticle provided by De Gruyter in its journal The B.E. Journal of Macroeconomics.
Volume (Year): 6 (2006)
Issue (Month): 3 (November)
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Web page: http://www.degruyter.com
Other versions of this item:
- Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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