Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory
基于跨期消费选择理论，构建统一框架解释消费资本资产定价模型的实证失败和投资组合不完整现象，利用美国家庭数据估计风险厌恶系数为1.7，参与成本下限为0.4%的非耐用品消费。
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the Consumption Capital Asset Pricing Model's poor empirical performance and the transaction costs‐based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non‐participation in financial markets. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4% of non‐durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating in financial markets. Copyright (C) 2010 John Wiley & Sons, Ltd.