WHY DO SO FEW HOLD STOCKS

• 成果类型: Article
• 署名作者: HALIASSOS, M; BERTAUT, CC
• 署名单位: Federal Reserve System - USA
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.2307/2235407
• 发表日期: 1995
• 页码: 1110-1129
• 关键词: liquidity constraints; equity premium; asset returns; risk-aversion; consumption; puzzle

摘要

We investigate why 75% of United States households do not hold stocks despite the equity premium and predictions of expected-utility models. The question is relevant for privatisation, asset pricing, and tax progressivity issues. We show that risk aversion Pcr se, heterogeneity of beliefs, habit persistence, time non-separability, and quantity constraints on borrowing do not account for the phenomenon. A wedge between borrowing and lending rates, and minimum-investment requirements are plausible but empirically weak factors. More promising explanations are inertia and departures from expected-utility maximisation. There is also qualified support for nondiversifiable income risk as a contributing factor.