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Asset Pricing Heterogeneous Consumers And Limited Participation
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Book Synopsis Asset Pricing with Heterogeneous Consumers and Limited Participation by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset pricing heterogeneous consumers and limited participation by : Alon Brav
Download or read book Asset pricing heterogeneous consumers and limited participation written by Alon Brav and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogenous Consumers and Limited Participation by : Alon Brav
Download or read book Asset Pricing with Heterogenous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 2002 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogeneous Consumers and Limited Paricipation by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Paricipation written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogeneous Consumers by : George M. Constantinides
Download or read book Asset Pricing with Heterogeneous Consumers written by George M. Constantinides and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth.
Book Synopsis Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions by : Veronika Czellar
Download or read book Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions written by Veronika Czellar and published by . This book was released on 2017 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose an asset pricing model featuring both limited participation and heterogeneity, in which agents randomly participate in the bond and stock markets according to a probability that depends on their non-financial income. We develop an indirect inference method to estimate our model on individual US consumption (CEX) and financial data. Our estimated model performs very well at jointly replicating the equity premium and the unequal distribution of individual consumptions. As an external validity check, our model accurately predicts the estimated stock market participation cost and its decline over the period 1980-2004, as well as observed financial market participation.
Book Synopsis Asset Pricing with Heterogeneous Consumer and Limited Partecipation: Empirical Evidence by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumer and Limited Partecipation: Empirical Evidence written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation by : Seryoong Ahn
Download or read book A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation written by Seryoong Ahn and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of each of these in matching moments of asset returns to the data and show that limited stock market participation generates a significantly large equity premium. We also show that the distribution of wealth between stock market participants and non-participants plays an important role in asset pricing, and that the effect of borrowing constraints on asset returns are similar to that of limited participation. Finally, we discuss the practical implications of our investigation, providing an appraisal of ongoing changes in asset returns.
Book Synopsis Asset Pricing with Limited Risk Sharing and Heterogeneous Agents by : Francisco Gomes
Download or read book Asset Pricing with Limited Risk Sharing and Heterogeneous Agents written by Francisco Gomes and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. The high risk-premium is driven by incomplete risk sharing among stockholders, which results from the combination of aggregate uncertainty, borrowing constraints, and a (realistically) calibrated life-cycle earnings profile subject to idiosyncratic shocks. We show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk-premium, contrary to the results of models where it is imposed exogenously.
Book Synopsis Asset pricing with heterogeneous consumers by : George M. Constantinides
Download or read book Asset pricing with heterogeneous consumers written by George M. Constantinides and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets by : Orazio P. Attanasio
Download or read book Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets written by Orazio P. Attanasio and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets.
Book Synopsis Asset Pricing with Heterogeneous Investors and Portfolio Constraints by : Georgy Chabakauri
Download or read book Asset Pricing with Heterogeneous Investors and Portfolio Constraints written by Georgy Chabakauri and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study general equilibrium in a Lucas (1978) economy with one consumption good and two investors with heterogeneous risk aversions and beliefs about aggregate consumption growth rate, and portfolio constraints. We provide a comprehensive comparison of various constraints, and show which of them and under what conditions help match the properties of asset prices in the data. We find that borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints can increase volatilities even when investors have identical preferences and beliefs. Moreover, borrowing constraints generate spikes in interest rates and stock return volatilities when the constraint starts to bind. Finally, we find that short-sale constraints have smaller impact on asset prices than borrowing constraints, consistent with the empirical evidence on short-sale bans in the aftermath of 2007-09 financial crisis.
Book Synopsis Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data by : Dirk Krueger
Download or read book Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data written by Dirk Krueger and published by . This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models and evaluate their performance in pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer to the data than the one obtained using the standard complete markets asset pricing kernel.
Book Synopsis Habit-based Asset Pricing with Limited Participation Consumption by : Christian Bach
Download or read book Habit-based Asset Pricing with Limited Participation Consumption written by Christian Bach and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Book Synopsis Asset Prices with Heterogeneous Consumers by : Thore Johnsen
Download or read book Asset Prices with Heterogeneous Consumers written by Thore Johnsen and published by . This book was released on 1979 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Market Participation, Redistribution, and Asset Pricing by : Francesco Saverio Gaudio
Download or read book Asset Market Participation, Redistribution, and Asset Pricing written by Francesco Saverio Gaudio and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamics of consumption inequality is important to understand asset pricing and its connection with the macroeconomy. We document marked heterogeneity in the transmission of different aggregate shocks to the consumption (and income) of U.S. assetholders relative to that of non-assetholders. Unlike technology shocks, factor-share shocks that redistribute resources from labor to capital income generate strong procyclicality in relative consumption, and are relevant drivers of time-variation in expected stock returns. A limited participation model rationalizing these findings highlights that asset prices mostly reflect risk stemming from redistribution between different income sources, which however has limited influence on macroeconomic fluctuations.
