Portfolio Choice and Liquidity Constraints*
研究流动性约束下家庭投资组合选择的无限期模型，发现小额股市进入固定成本足以阻止持股，因为家庭可通过少量或不持股实现消费平滑。
We study the infinite‐horizon model of household portfolio choice under liquidity constraints and revisit the portfolio specialization puzzle. We show why the puzzle is robust to several model variations, and argue that positive correlation between earnings shocks and stock returns is unlikely to provide an empirically plausible resolution. We find that relatively small fixed costs for stock market entry are sufficient to deter stockholding because, for a plausible range of parameter values, households can achieve desired consumption smoothing with small or zero holdings of stocks. Such costs could arise from informational considerations, sign‐up fees, and investor inertia.