The Spirit of Capitalism and Asset Pricing: an Empirical Investigation
AbstractWe extend and test two models of aggregate asset pricing that feature status-seeking through accumulation of not only financial assets but also human capital. We use weak-identification robust tests to confront these models with U.S. 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 in the aggregate data. 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 InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-428.
Date of creation: Jun 2006
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Other versions of this item:
- Zhang Qiang, 2006. "The Spirit of Capitalism and Asset Pricing: An Empirical Investigation," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-25, November.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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