Heterogeneity in financial market participation: Appraising its implications for the C-CAPM

Review of Finance

Volumn 8, Issue 3, 2004, Pages 445-480

  Paiella, Monica ^a  

^a BANK OF ITALY   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 23944515698     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1007/s10679-004-2545-x     Document Type: Review

References (37)

1. Arrow, K. (1971) Essays in the Theory of Risk-Bearing, North Holland, Amsterdam.
2. Attanasio, O., Banks, J., and Tanner, S. (2002) Asset holding and consumption volatility, Journal of Political Economy 110, 771-792.
3. Attanasio, O. and Weber, G. (1995) Is consumption growth consistent with intertemporal optimization? Evidence from the consumer expenditure survey, Journal of Political Economy 103, 1121-1157.
4. Attanasio, O. and Weber, G. (1993) Consumption growth, the interest rate and aggregation, Review of Economic Studies 60, 631-649.
5. Banks, J., Blundell, R., and Brugiavini, A. (1999) Risk pooling, precautionary saving and consumption growth, Working Paper No. 99/19, Institute for Fiscal Studies.
6. Bertaut, C. and Starr-McCluer, M. (2002) Household portfolios in the United States, in L. Guiso, M. Haliassos and T. Japelli eds.: Household Portfolios, The MIT Press, Cambridge, Massachusetts.
7. Breeden, D. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.
8. Brock, W. (1982) Asset prices in a production economy, in J. J. McCall ed.: The Economics of Information and Uncertainty, University of Chicago Press, Chicago, Illinois.
9. Campbell, J. and Cochrane, J. (1995) By force of habit: A consumption-based explanation of aggregate stock market behavior, NBER Working paper No. 4995.
10. Constantinides, G. (1982) Intertemporal asset pricing with heterogeneous consumers and without demand aggregation, Journal of Business 55, 253-267.
11. Constantinides, G. (1990) Habit formation: A resolution of the equity premium puzzle, Journal of Political Economy 98, 519-543.
12. Epstein, L. and Zin, S. (1989) Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework, Econometrica 57, 937-969.
13. Epstein, L. an Zin, S. (1991) Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis, Journal of Political Economy 99, 263-286.
14. Fama, E. and French K. (1989) Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 47, 511-552.
15. Friend, I. and Blume M. (1975) The demand for risky asset, American Economic Review 65, 900-922.
16. Gallant, R., Hansen, L., and Tauchen, G. (1990) Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution, Journal of Econometrics 45, 141-179.
17. Haliassos, M. and Bertaut, C. (1995) Why do so few hold stocks? Economic Journal 105, 1110-1129.
18. Hall, R. (1988) Intertemporal substitution in consumption, Journal of Political Economy 96, 339-357.
19. Hansen, L. and Jagannathan, R. (1991) Implications of security market data for models of dynamic economies., Journal of Political Economy 99, 225-262.
20. Hansen, L. and Singleton, K. (1982) Generalized instrumental variables estimation of non-linear rational expectation models, Econometrica 50, 1269-1286.
21. Hansen, L. and Singleton, K. (1983) Stochastic consumption, risk aversion, and the temporal behavior of asset returns, Journal of Political Economy 91, 249-266.
22. Hansen, L. and Singleton, K. (1984) Errata (to the 1982 paper) Econometrica 52, 267-268.
23. Heaton, J. (1995) An empirical investigation of asset pricing with temporally dependent preference specification, Econometrica 63, 681-717.
24. Heaton, J. and Lucas, D. (1996) Evaluating the effects of incomplete markets on risk sharing and asset pricing, Journal of Political Economy 104, 443-487.
25. Kydland, F. and Prescott, E. (1982) Time to build and aggregate fluctuations, Econometrica 50, 1345-1370.
26. Kocherlakota, N. (1996) The equity premium: It is still a puzzle, Journal of Economic Literature 24, 42-71.
27. Lintner, J. (1965) The valuation of risk assets and the selection of risky investment in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37.
28. Lucas, R. (1978) Asset prices in an exchange economy, Econometrica 46, 1429-1445.
29. Mankiw, G. and Zeldes, S. (1991) The consumption of stockholders and non-stockholders, Journal of Financial Economics 29, 97-112.
30. Mehra, R. and Prescott, E. (1985) The equity premium. A puzzle, Journal of Monetary Economics 15, 145-161.
31. Merton, R. (1973) An intertemporal asset pricing model, Econometrica 41, 867-887.
32. Newey, W. and West, K. (1987) A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
33. Poterba, J. and Samwick, A. (1995) Stock ownership patterns, stock market fluctuations, and consumption, Brookings Papers on Economic Activity 2, 295-372.
34. Sabelhaus, J. (1998) Using the consumer expenditure survey for research on saving and consumption, unpublished working paper, Congressional Budget Office.
35. Sharpe, W. (1964) Capital asset prices: A theory of capital market equilibrium under conditions of risk, Journal of Finance 19, 425-442.
36. Vissing-Jørgensen, A. (1999) Limited stock market participation, unpublished working paper, Northwestern University.
37. Vissing-Jørgensen, A. (2002) Limited asset market participation and the elasticity of intertemporal substitution, Journal of Political Economy 110, 825-853.