Canadian consumption and portfolio shares
AbstractIn this paper we gauge consumption and portfolio shares, rather than the traditional pricing implications. We study both aggregated (financial, tangible, and human) and disaggregated (deposits, stocks, insurance, and pensions) assets. The empirical shares are computed from recent aggregate Canadian data. The theoretical shares are constructed from a flexible specification of both investors' preferences and investment opportunities. Our results reveal that the theoretical shares statistically match observed consumption and aggregated assets, but not disaggregated assets. Also, our findings for corporate stocks are consistent with the empirical asset returns literature. Finally, our findings for other assets highlight several new striking features.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 35 (2002)
Issue (Month): 4 (November)
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Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
Web page: http://economics.ca/cje/
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- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Michel Normandin & Pascal St-Amour, 2005.
"An Empirical Analysis of U.S. Aggregate Portfolio Allocations,"
Cahiers de recherche
- Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de Recherches Economiques du DÃ©partement d'EconomÃ©trie et d'Economie politique (DEEP) 05.03, Université de Lausanne, Faculté des HEC, DEEP.
- Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," CIRANO Working Papers 2005s-07, CIRANO.
- Michel Normandin & Pascal Saint-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de recherche 05-02, HEC Montréal, Institut d'économie appliquée.
- Normandin, Michel & St-Amour, Pascal, 2008. "An empirical analysis of aggregate household portfolios," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1583-1597, August.
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