Do Wealth Fluctuations Generate Time Varying Risk Aversion Micro Evidence On Individuals Asset Allocation
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Do Wealth Fluctuations Generate Time Varying Risk Aversion Micro Evidence On Individuals Asset Allocation
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Author : Stefan Nagel
language : en
Publisher:
Release Date : 2010
Do Wealth Fluctuations Generate Time Varying Risk Aversion Micro Evidence On Individuals Asset Allocation written by Stefan Nagel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We use data from the PSID to investigate how households' portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of households' portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses.
Do Wealth Fluctuations Generate Time Varying Risk Aversion
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Author : Markus Konrad Brunnermeier
language : en
Publisher:
Release Date : 2006
Do Wealth Fluctuations Generate Time Varying Risk Aversion written by Markus Konrad Brunnermeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Portfolio management categories.
We use data from the PSID to investigate how households' portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of households' portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses
Do Wealth Fluctuations Generate Time Varying Risk Aversion Micro Evidence On Individuals Asset Allocation
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Author : Markus K. Brunnermeier
language : en
Publisher:
Release Date : 2015
Do Wealth Fluctuations Generate Time Varying Risk Aversion Micro Evidence On Individuals Asset Allocation written by Markus K. Brunnermeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Recent asset pricing models depart from the standard time-separable CRRA preferences - by introducing additive habit formation, for example - so that wealth shocks produce transitory variation in agents' relative risk aversion. We investigate whether there is micro-level evidence in support of this proposed (negative) relationship between wealth shocks and relative risk aversion. To this end, we analyze two decades of panel data on household asset allocation from the PSID and CEX surveys. Using a variety of specifications, we find that the share of financial assets that households invest in risky assets is unaffected by shocks to their wealth. We also find that following in- and outflows of financial wealth, and, in particular, capital gains and losses, households rebalance only very little. But even controlling for this inertia, wealth shocks do not have economically significant effects on household asset allocation. Our results suggest that wealth fluctuations do not generate time-varying risk aversion.
Do Wealth Fluctuations Generate Time Varying Risk Aversion
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Author : Alessio Ciarlone
language : en
Publisher:
Release Date : 2012
Do Wealth Fluctuations Generate Time Varying Risk Aversion written by Alessio Ciarlone and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Do Wealth Fluctuations Generate Time Varying Risk Aversion Italian Micro Evidence On Household Asset Allocation
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Author : Giuseppe Cappelletti
language : en
Publisher:
Release Date : 2012
Do Wealth Fluctuations Generate Time Varying Risk Aversion Italian Micro Evidence On Household Asset Allocation written by Giuseppe Cappelletti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Financial Markets And The Real Economy
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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Positioning Pensions For The Twenty First Century
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Author : Michael S. Gordon
language : en
Publisher: University of Pennsylvania Press
Release Date : 1997-04-29
Positioning Pensions For The Twenty First Century written by Michael S. Gordon and has been published by University of Pennsylvania Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-04-29 with Business & Economics categories.
As the United States comes to terms with the pending insolvency of social security, workers are increasingly pinning their hopes for retirement adequacy on employer-sponsored plans. Positioning Pensions for the Twenty-First Century analyzes the role of pensions in retirement security, examining how these programs will evolve to meet the challenges to our nation's retirement system. The book brings together a team of leading economists, corporate and labor specialists, actuaries, and policy experts to examine the future of retirement options within the context of emerging labor and business trends and innovative developments in the pension community. They show how a successful public and private pension system can be sustained and strengthened and demonstrate how employer pensions can be configured against a delicately financed social insurance system. The book's contributions examine where pensions have succeeded and failed over the last several decades and point to positive new developments in the pension arena. Its coverage includes innovative pension options such as hybrid and cash-balance plans; pension funding regulations; changes in GATT laws altering pension insurance premiums; and emerging developments concerning administrative costs and pension obligation bonds. It also features new research on defined contribution plan investment options and includes three case studies of participant-directed pension investments, telling how thousands of workers are allocating their pension savings in 401(k) and related plans. Positioning Pensions for the Twenty-First Century is essential reading for all managers, employees, and policymakers concerned with designing pension systems that can withstand the challenges of the next decade.
Monetary Policy And The Cyclicality Of Risk
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Author : Christopher J. Gust
language : en
Publisher: DIANE Publishing
Release Date : 2010
Monetary Policy And The Cyclicality Of Risk written by Christopher J. Gust and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
The authors use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. Variation in risk arises because households face fixed costs of transferring cash across financial accounts, implying that some households rebalance their portfolios infrequently. The model can account for the mean returns on equity and the risk-free rate, and in line with empirical evidence generates a decline in the equity premium following an unanticipated easing of monetary policy. Countercyclical monetary policy generates higher average welfare than constant money growth or zero inflation policies. Charts and tables. This is a print on demand report.
Handbook Of The Economics Of Finance
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Author : G. Constantinides
language : en
Publisher: Elsevier
Release Date : 2003-11-04
Handbook Of The Economics Of Finance written by G. Constantinides and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-11-04 with Business & Economics categories.
Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Aging Issues In The United States And Japan
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Author : Seiritsu Ogura
language : en
Publisher: University of Chicago Press
Release Date : 2007-11-01
Aging Issues In The United States And Japan written by Seiritsu Ogura and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Social Science categories.
The population base in both the United States and Japan is growing older and, as those populations age, they provoke heretofore unexamined economic consequences. This cutting-edge, comparative volume, the third in the joint series offered by the National Bureau of Economic Research and the Japan Center for Economic Research, explores those consequences, drawing specific attention to four key areas: incentives for early retirement; savings, wealth, and asset allocation over the life cycle; health care and health care reform; and population projections. Given the undeniable global importance of the Japanese and U.S. economies, these innovative essays shed welcome new light on the complex correlations between aging and economic behavior. This insightful work not only deepens our understanding of the Japanese and American economic landscapes but, through careful examination of the comparative social and economic data, clarifies the complex relation between aging societies, public policies, and economic outcomes.