Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?

• 成果类型: Article
• 署名作者: Chien, YiLi; Cole, Harold; Lustig, Hanno
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Pennsylvania; University of California System; University of California Los Angeles
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.102.6.2859
• 发表日期: 2012
• 页码: 2859-2896
• 关键词: TIME-VARYING RISK; EQUITY-PREMIUM; durable consumption; exchange-rates; asset prices; long-run; equilibrium; habit; RESOLUTION; DYNAMICS

摘要

Our paper examines whether the failure of unsophisticated investors to rebalance their portfolios can help to explain the countercyclical volatility of aggregate risk compensation in financial markets. To answer this question, we set up a model in which a large mass of investors do not rebalance their portfolio shares in response to aggregate shocks, while a smaller mass of active investors do. We find that intermittent rebalancers more than double the effect of aggregate shocks on the time variation in risk premia by forcing active traders to sell more shares in good times and buy more shares in bad times. (JEL D14, E32, G11, G12)