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Canadian Consumption and Portfolio Shares

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  • Michel Normandin

    ()
    (HEC Montréal and CREFE)

  • Pascal St-Amour

    (HEC Montréal)

Abstract

This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets) and disaggregated assets (i.e. deposits, stocks, and reserves for life insurance and pensions), rather than traditional underlying pricing implications for stocks. Hence, our analysis offers the advantage of providing both global and specific relevant information about the investor's positions in the most important financial and nonfinancial instruments. The empirical shares are computed from quarterly aggregate Canadian data for the post-1960 period. The theoretical shares are constructed from a flexible specification of both investor's preferences and investment opportunities. Our results reveal that the theoretical shares replicate remarkably well the empirical shares for consumption and aggregate assets, but not for disaggregated assets. Also, our findings obtained for stocks are consistent with the conventional empirical results of the stock return's literature. Finally, our findings for assets other than stocks highlight several new striking features. Cette étude mesure la consommation et les parts de portefeuille pour les actifs agrégés (i.e. financiers, réels et humains) et désgrégés (i.e. dépôts, fonds propres et régimes d'assurance-vie et de retraite), plutôt que les implications traditionnelles pour les prix des actions. Ainsi, notre analyse offre l'avantage d'une information globale et spécifique concernant les positions d'investissement. Nos résultats démontrent que les parts théoriques reproduisent remarquablement bien les parts empiriques pour la consommations et les actifs agrégés, mais pas en ce qui a trait aux actifs désagrégés. De plus, nos résultats obtenus pour les fonds propres sont compatibles avec les énigmes empiriques répertoriées dans la littérature sur les prix des actifs. Finalement, nos résultats pour les actifs autres que les actions démontrent plusieurs nouveaux éléments.

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Bibliographic Info

Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 134.

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Length: 26 pages
Date of creation: Jun 2001
Date of revision:
Handle: RePEc:cre:crefwp:134

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Related research

Keywords: Aggregated and disaggregated assets; elasticity of intertemporal substitution; dynamic hedging; risk aversion; time-vaying investment opportunity sets;

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Cited by:
  1. Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de recherche 0503, CIRPEE.
  2. 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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