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The Spirit of Capitalism and Asset Pricing: An Empirical Investigation
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Qiang Zhang
Published/Copyright:
November 8, 2006
We 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.
Keywords: spirit of capitalism; asset pricing; equity premium; human capital; GMM; weak-identification robust tests
Published Online: 2006-11-8
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Keywords for this article
spirit of capitalism;
asset pricing;
equity premium;
human capital;
GMM;
weak-identification robust tests
Articles in the same Issue
- Frontiers Article
- 10.2202/1534-6021.1320
- Topics Article
- The Spirit of Capitalism and Asset Pricing: An Empirical Investigation
- Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy
- How Would an Appreciation of the Renminbi Affect the U.S. Trade Deficit with China?
- Multi-product Firms, R&D, and Growth
- Money Creation in a Random Matching Model
- Stochastic Capital Depreciation and the Co-movement of Hours and Productivity
- The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets
- The Role of Government Commitment for Environmental Policy and Capital Movements
