| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4841 |
| DP4841 Playing it Safe with Low Conditional Fees versus Being Insured by High Contingent Fees | |
| Winand Emons | |
| 发表日期 | 2005-01-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We show that a life cycle model with realistically calibrated uninsurable labour income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation. The key ingredients of the model are Epstein-Zin preferences, a fixed stock market entry cost, and moderate heterogeneity in risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets, and consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk averse, and as a result they do not invest their portfolios fully in stocks. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Life-cycle models Portfolio choice Preference heterogeneity Liquidity constraints Stock market participation Uninsurable labour income risk |
| URL | https://cepr.org/publications/dp4841 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533749 |
| 推荐引用方式 GB/T 7714 | Winand Emons. DP4841 Playing it Safe with Low Conditional Fees versus Being Insured by High Contingent Fees. 2005. |
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