The spirit of capitalism, non-expected utility and asset pricing

摘要

This paper investigates testable restrictions on the time-series behavior of con- sumption and asset returns implied by a representative agent model with the spirit of capitalism in which intertemporal preference is represented by a utility function that gener- alizes conventional, time-additive, expected utility. In the recursive structure of preference, the author examines the implication for consumptions, portfolio holdings, and stock-market prices when investors accumulate wealth not only for the sake of consumption but also for wealth-induced social status.