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Title: Does Crime Pay? Asset Pricing with Revealed Utility of Heterogeneous Consumers

Citation Type: Miscellaneous

Publication Year: 2015

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Abstract: I propose violent crime growth as a measure of revealed marginal utility growth of heterogeneous consumers in incomplete markets. Consumer heterogeneity is measured using the cross-sectional average and cross-sectional variance of crime growth exploiting a monthly panel of reported crime incidents from over 10,000 law enforcement agencies across the United States from 1975-2012. Consistent with heterogeneous consumer models such as Mankiw (1986), I find that the cross-sectional average and variance of violent crime growth can explain the cross-section of stock returns. Specifically, investors pay a premium for assets that have higher betas to the violent crime growth moments.

Url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2664823

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Authors: Huck, John, R

Publisher: University of Wisconsin - Milwaukee

Data Collections: IPUMS USA

Topics: Crime and Deviance

Countries: United States