Portfolio choice and liquidity constraints

• 成果类型: Article
• 署名作者: Haliassos, M; Michaelides, A
• 署名单位: University of London; London School Economics & Political Science; University of Cyprus; Centre for Economic Policy Research - UK
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/1468-2354.t01-1-00065
• 发表日期: 2003
• 页码: 143-177
• 关键词: risk; consumption; BEHAVIOR; income

摘要

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.