The Cross-Section of Household Preferences

• 成果类型: Article; Early Access
• 署名作者: Calvet, Laurent E.; Campbell, John Y.; Gomes, Francisco; Sodini, Paolo
• 署名单位: Universite Cote d'Azur; Centre for Economic Policy Research - UK; Harvard University; National Bureau of Economic Research; University of London; London Business School; Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70067
• 发表日期: 2026-07-23
• 关键词: portfolio choice; intertemporal substitution; asset allocation; risk-aversion; consumption; elasticity; models; WEALTH

摘要

This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find modestly heterogeneous risk aversion (standard deviation 0.97, median 7.50) and a meaningfully heterogeneous and right-skewed time preference rate (TPR; standard deviation 7.31%, median 4.08%) and elasticity of intertemporal substitution (EIS; standard deviation 3.17, median 0.70). Risk aversion and the EIS are only very weakly negatively correlated. We estimate lower risk aversion for households with riskier labor income, and a higher TPR and lower EIS for households that enter our sample with low wealth.