TY - JOUR
T1 - Preferences on relative return: A potential explanation for some pricing anomalies
AU - Lauterbach, Beni
AU - Reisman, Haim
PY - 2002/12/1
Y1 - 2002/12/1
N2 - We derive a version of the CAPM in which investor preferences depend only on the mean and variance of the ratio between the portfolio return and a reference return. The reference return is specific to each investor, and can also be interpreted as a proxy of the consumption of his neighbors. That is, investors in our economy care about how much they consume relative to their neighbors. The model provides a rational potential explanation for the home bias enigma and for other pricing anomalies. © 2002.
AB - We derive a version of the CAPM in which investor preferences depend only on the mean and variance of the ratio between the portfolio return and a reference return. The reference return is specific to each investor, and can also be interpreted as a proxy of the consumption of his neighbors. That is, investors in our economy care about how much they consume relative to their neighbors. The model provides a rational potential explanation for the home bias enigma and for other pricing anomalies. © 2002.
UR - http://www.scopus.com/inward/record.url?scp=35448940546&partnerID=8YFLogxK
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SN - 1569-3732
VL - 7
JO - Advances in Financial Economics
JF - Advances in Financial Economics
ER -