a b s t r a c tUsing a long time-series of U.S. income inequality, I find that the market pays higher prices for assets that hedge against increased inequality. This is consistent with the prediction of an incomplete-markets model incorporating preferences over both comparative and noncomparative consumption ''goods'' when the weight on the former is large. The model implies that the time-series properties of the premium can be used to identify the substitutability of these two sources of utility. There is ev…
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