search query: @indexterm volatility / total: 330
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| Author: | Attanasio, O. P. Banks, J. Tanner, S. |
| Title: | Asset holding and consumption volatility |
| Journal: | Journal of Political Economy
2002 : AUG, VOL. 110:4, p. 771-853 |
| Index terms: | Assets Stock markets Consumption Volatility |
| Language: | eng |
| Abstract: | The authors investigate the possibility that limited participation in asset marktes, and the stock market in particular, might explain the lack of correspondence between the sample moments of the intertemporal marginal rate of substitution and asset returns in U.K. data. They estimate ownership probabilities to separate "likely" shareholders from nonshareholders, enabling us to control for changing composition effects as well selection into the group. The authors find that the consumption growth of shareholders is more volatile than that of nonshareholders and more highly correlated with excess returns to shares. shareholders |
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