Limited Stock Market Participation and Asset Prices in a Dynamic Economy
نویسندگان
چکیده
منابع مشابه
Limited Stock Market Participation and Asset Prices in a Dynamic Economy
This paper presents a consumptiun-ba,setl model that explains Ihe equity premitim puzzle through two channels, Hirst, because of borrowing constraints, the sharehokler cannt)t completely diversify his income risk ami requires a sizable risk premium on .stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock reiurn an...
متن کاملModel Uncertainty, Limited Market Participation, and Asset Prices
We demonstrate that limited market participation can arise endogenously in the presence of model uncertainty. Our model generates novel predictions on the relation between limited market participation, the equity premium, and the diversification discount. When the dispersion in investors’ model uncertainty is small, full market participation prevails in equilibrium. In this case, the equity pre...
متن کاملLimited Market Participation and Asset Prices in the Presence of Earnings Management
We examine the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that investors’ uncertainty about the extent of manipulation can cause excess movements in stock price relative to fluctuations in output. When faced with information asymmetry about fundamentals in the presence of earnings management, investors demand a higher ...
متن کاملAsset prices in a Huggett economy
This paper explores the asset-price implications in economies where there is no direct insurance against idiosyncratic risks but where there are other assets— such as a riskfree bond or equity—that can be used for self-insurance, subject to exogenously imposed borrowing limits. We analyze an economy without production—an endowment economy—and we consider both the case with no aggregate risk and...
متن کاملA Simple Model of Limited Stock Market Participation
The 1998 Survey of Consumer Finance data shows that only 48.8 percent of U.S. households owned stocks, either (i) directly or (ii) indirectly through mutual funds. In addition, there is a close relationship between shareholding and wealth. In 1998, 93 percent of the richest 1 percent of the population owned stocks; the richest 10 percent owned 85 percent of total stocks and mutual funds, compar...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2004
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109000004002