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来源类型Working Paper
规范类型报告
DOI10.3386/w15010
来源IDWorking Paper 15010
Optimal Inattention to the Stock Market with Information Costs and Transactions Costs
Andrew B. Abel; Janice C. Eberly; Stavros Panageas
发表日期2009-05-28
出版年2009
语种英语
摘要Recurrent intervals of inattention to the stock market are optimal if consumers incur a utility cost to observe asset values. When consumers observe the value of their wealth, they decide whether to transfer funds between a transactions account from which consumption must be financed and an investment portfolio of equity and riskless bonds. Transfers of funds are subject to a transactions cost that reduces wealth and consists of two components: one is proportional to the amount of assets transferred, and the other is a fixed resource cost. Because it is costly to transfer funds, the consumer may choose not to transfer any funds on a particular observation date. In general, the optimal adjustment rule---including the size and direction of transfers, and the time of the next observation---is state-dependent. Surprisingly, unless the fixed resource cost of transferring funds is large, the consumer's optimal behavior eventually evolves to a situation with a purely time-dependent rule with a constant interval of time between observations. This interval of time can be substantial even for tiny observation costs. When this situation is attained, the standard consumption Euler equation holds between observation dates if the consumer is sufficiently risk averse.
主题Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w15010
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/572686
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Andrew B. Abel,Janice C. Eberly,Stavros Panageas. Optimal Inattention to the Stock Market with Information Costs and Transactions Costs. 2009.
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