Asset Holding and Consumption Volatility
研究英国数据中，有限参与资产市场（尤其是股票市场）能否解释跨期边际替代率与资产回报之间的不一致。通过区分股东与非股东，发现股东消费增长波动更大，且与股票超额回报相关性更高，消费资本资产定价模型对股东群体成立。
We investigate the possibility that limited participation in asset markets, and the stock market in particular, might explain the lack of correspondence between the sample moments of the intertemporal marginal rate of substitution and asset returns in U.K. data. We estimate ownership probabilities to separate "likely" shareholders from nonshareholders, enabling us to control for changing composition effects as well as selection into the group. We then construct estimates of the IMRS for each of these different groups and consider their time-series properties. We find that the consumption growth of shareholders is more volatile than that of nonshareholders and more highly correlated with excess returns to shares. In particular, one cannot reject the predictions of the consumption capital asset pricing model for the group of households predicted to own both assets. This is in contrast to the failure of the failure of the model when estimated on data for all households.