| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8822 |
| 来源ID | Working Paper 8822 |
| Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence | |
| Alon Brav; George M. Constantinides; Christopher C. Geczy | |
| 发表日期 | 2002-03-07 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We present evidence that the equity premium and the premium of value stocks over growth stocks are explained in the 1982 1996 period with a stochastic discount factor (SDF) calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion (RRA) coefficient. Household consumption of non-durables and services is reconstructed from the CEX database. Since the above premia are not explained with a SDF calculated as the per capita marginal rate of substitution with low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence is that a SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Microeconomics ; Behavioral Economics |
| URL | https://www.nber.org/papers/w8822 |
| 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/566429 |
| 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. 2002. |
| 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 | ||
| w8822.pdf（1250KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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