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Why do Household Portfolio Shares Rise in Wealth?

  • Motohiro Yogo

    (University of Pennsylvania)

  • Jessica Wachter

    (University of Pennsylvania)

expenditure share for basic goods declines in total consumption, and the variance of consumption growth rises in the level of consumption. When calibrated to match these two predictions in household consumption data, the model explains portfolio shares that rise in wealth.

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Paper provided by Society for Economic Dynamics in its series 2007 Meeting Papers with number 929.

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Date of creation: 2007
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Handle: RePEc:red:sed007:929
Contact details of provider: Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Web page: http://www.EconomicDynamics.org/society.htm
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  23. Lars A. Lochstoer, 2009. "Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5251-5294, December.
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  25. Haliassos, Michael & Bertaut, Carol C, 1995. "Why Do So Few Hold Stocks?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1110-29, September.
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  36. repec:cup:cbooks:9780521296762 is not listed on IDEAS
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  39. Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April.
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  43. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 63-91, March.
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  46. Christopher J. Malloy & Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2009. "Long-Run Stockholder Consumption Risk and Asset Returns," Journal of Finance, American Finance Association, vol. 64(6), pages 2427-2479, December.
  47. Rui Yao, 2005. "Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 197-239.
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