| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7406 |
| 来源ID | Working Paper 7406 |
| Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence | |
| Alon Brav; George M. Constantinides; Christopher C. Geczy | |
| 发表日期 | 1999-10-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database. The estimated relative risk aversion coefficient of the representative household decreases, and the estimated unexplained mean equity premium decreases, as infra marginal asset holders are eliminated from the sample. These results provide evidence of limited capital market participation. The estimated unexplained mean equity premium decreases when the assumption of complete consumption insurance is relaxed. The estimated correlation between the equity premium and the cross- sectional variance of the households' consumption growth is negative, as required, if the relaxation of market completeness is to contribute towards the explanation of the premium. The overall evidence from asset prices in favor of relaxing the assumption of complete consumption insurance is weak. An extensive Monte Carlo investigation highlights the relationship between the economic implications of limited participation and the resulting statistical properties of commonly used test statistics. The simulation results provide direct evidence relating observation error in consumption and the resulting small-sample of the test statistics. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Microeconomics ; Behavioral Economics |
| URL | https://www.nber.org/papers/w7406 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564943 |
| 推荐引用方式 GB/T 7714 | Alon Brav,George M. Constantinides,Christopher C. Geczy. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7406.pdf（3541KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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