Do Disaster Expectations Explain Household Portfolios
Do Disaster Expectations Explain Household Portfolios
复制标题
灾难预期能否解释家庭投资组合
DOI：
10.3982/qe128
复制
发表时间：
2012
影响因子：
1.8
通讯作者：
Sule Alan
中科院分区：
文献类型：
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作者：
Sule Alan
有人认为，罕见的经济灾难可以解释大多数资产定价难题。如果是这样的话，与股市灾难相关的感知风险就应该在家庭投资组合中体现出来。也就是说，解决这些定价难题的框架也应该生成与观察到的数量一致的数量。本文估计了灾害的感知风险（概率和预期规模），这与1983年至2004年美国观察到的投资组合和消费增长是一致的。我发现，只有当人们同时考虑到劳动收入损失的大概率时，大学学历以下家庭的投资组合选择才能部分地用对股市灾难的预期来解释。然而，这种灾难预期并未在受过良好教育和较富裕家庭的投资组合中显露出来；简单的股票市场周期参与成本与偏好异质性解释了他们的参与和投资模式。
It has been argued that rare economic disasters can explain most asset pricing puzzles. If this is the case, perceived risk associated with a disaster in stock markets should be revealed in household portfolios. That is, the framework that solves these pricing puzzles should also generate quantities that are consistent with the observed ones. This paper estimates the perceived risk of disasters (both probability and expected size) that is consistent with observed portfolios and consumption growth between 1983 and 2004 in the United States. I find that the portfolio choice of households that have less than a college degree can be partially explained by expectations of stock markets disasters only if one allows for a large probability of labor income loss at the same time. Such disaster expectations however, are not revealed in the portfolios of educated and wealthier households; simple per-period participation costs to stock market coupled with preference heterogeneity explain their participation and investment patterns.