Leisure Preferences, Long-Run Risks, and Human Capital Returns*

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2016-06-01 DOI:10.1093/RAPSTU/RAW001

Robert F. Dittmar, Francisco Palomino, Wei Yang

引用次数: 11

Abstract

We analyze the contribution of leisure preferences to a model of long-run risks in leisure and consumption growth. The marginal utility of consumption is affected by short- and long-run risks in leisure under nonseparable and recursive preferences. We match equity risk premia and macroeconomic moments with plausible coefficients of relative-risk aversion. Additionally, the model generates a less negative to positively sloped average real yield curve, depending on the elasticity of substitution between the consumption of nondurables and services and leisure. Further, the incorporation of leisure in utility allows us to derive model implications for the return on human capital.Received October 11, 2011; accepted December 24, 2015 by Editor Wayne Ferson.

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休闲偏好、长期风险与人力资本回报*

我们分析了休闲偏好对休闲和消费增长的长期风险模型的贡献。在不可分偏好和递归偏好下，休闲消费的边际效用受到短期和长期风险的影响。我们将股票风险溢价和宏观经济时刻与合理的相对风险厌恶系数相匹配。此外，根据非耐用品消费与服务和休闲之间的替代弹性，该模型产生了一个较低的负向正倾斜的平均实际收益率曲线。此外，将休闲纳入效用使我们能够推导出人力资本回报的模型含义。2011年10月11日收稿;2015年12月24日由编辑Wayne Ferson接受。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.