Recent studies have explored the possibility that limited participation in asset markets, 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. We estimate ownership probabilities...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Attanasio, Orazio P. 1959- (VerfasserIn), Banks, James (VerfasserIn), Tanner, Sarah (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1998
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6567
Schlagworte:	Consommation - Grande-Bretagne - Modèles économétriques Ökonometrisches Modell Capital assets pricing model Consumption (Economics) > Great Britain > Econometric models Stock ownership > Great Britain > Econometric models Stockholders > Great Britain > Econometric models Großbritannien
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Zusammenfassung:	Recent studies have explored the possibility that limited participation in asset markets, 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. We estimate ownership probabilities to separate likely' shareholders from non-shareholders, enabling us to control for changing composition effects as well as selection into the group. We then construct estimates of the IMRS for each of these different groups and consider their time series properties. We find that the consumption growth of shareholders is more volatile than that of non-shareholders, and more highly correlated with excess returns to shares. In particular, one cannot reject the predictions of the Consumption CAPM for the group of households predicted to own both assets. This is in contrast to the failure of the model when estimated on data for all households.
Beschreibung:	30 S. graph. Darst.