haku: @indexterm intertemporal economics / yhteensä: 19
viite: 8 / 19
| Tekijä: | Vissing-Jorgensen, A. Attanasio, O. P. |
| Otsikko: | Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion |
| Lehti: | American Economic Review
2003 : MAY, VOL. 93:2, p. 383-391 |
| Asiasana: | STOCK MARKETS STOCK OWNERSHIP INTERTEMPORAL ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | In this paper, authors argue that considering the consumption growth of stockholders and two asset returns not only yields values of the elasticity of intertemporal substitution that are plausible, but also helps explain the equity premium puzzle. The evidence the authors have on the consumption, income, and portfolios of stockholders is consistent with fairly plausible values of the coefficient of relative risk- aversion. The authors specify the conditional expected return to human capital as a linear function of the conditional expected returns to stocks and bonds. They suggest a novel approach to estimating the coefficients in this function based on conditional Euler equations for stockholders. |
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