| Publisher | University of Pennsylvania | ||
|---|---|---|---|
| Format | 176.4KB PDF, requires Acrobat Rdr 5 | Date added | 01 Nov 1999 |
| Topics | Transaction Processing, Online Trading | ||
| Downloads | 1 | ||
This paper estimates threshold models of household securities purchases, allowing for transactions costs. Purchases are related to excess market returns, the ratio of securities holdings to total wealth, and other variables capturing labor market and demographic transitions. Purchases are also related to various summary measures of households' hedging motives. In contrast to previous focus on income risk, the measures here include consumption-risk, which is more consistent with theoretical models of portfolio choice. The Consumer Expenditure Survey is used to calculate the standard deviation of household consumption growth and the correlation of consumption growth with market returns. A second, higher frequency set of measures is taken from the monthly Michigan consumer sentiment surveys.
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