Limited Asset Market Participation and the Elasticity of Intertemporal Substitution

By Annette Vissing-Jorgensen. Journal of Political Economy, 2002

1,125 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/6195da7d3e5a7796f64d9f7be02e00625f708d3a

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Citations in the corpus

Optimal life cycle asset allocation : understanding the empirical evidence (2003, neutral): “Moreover, recent empirical work suggests that small entry costs can be consistent with the observed low stock market participation rates (see Paiella (2001), Degeorge, Jenter, Moel and Tufano (2002) and Vissing-Jørgensen (2002b)).”
Investment, Idiosyncratic Risk, and Ownership (2011, neutral): “…with most of their wealth invested in the single firm they own, and that therefore the degree of entrepreneurial risk aversion is crucial for the entrepreneurial investment decision [Heaton and Lucas, 2000b; Heaton and Lucas, 2000a; Vissing-Jørgensen, 2002; Moskowitz and Vissing-Jørgensen, 2002].”
Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (2006, background): “Lastly, models of limited stock market participation argue that the gradual entry of new participants has persistently depressed equity premia (Vissing-Jorgensen (2002), Calvet, Gonzalez-Eiras, and Sadini (2003), and Guvenen (2003)).”
Stock Market Returns and Consumption (2020, background): “Moreover, consistent with buffer-stock models of consumption, such as Zeldes (1989), Carroll”
Nature or Nurture: What Determines Investor Behavior? (2010, neutral): “Our paper also contributes to research on the determinants of variation in asset allocation (share Vissing-Jørgensen (2002b) shows that relatively small ongoing participation costs can explain the non-participation rate in the stock market.”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, background): “3 Vissing-Jorgensen (2002) and Calvet Campbell and Sodini (2017) document limited stock market participation by households.”
Information Quality and Long‐Run Risk: Asset Pricing Implications (2010, neutral): “While Hansen and Singleton (1982), Attanasio and Weber (1989), and Vissing-Jorgensen (2002) estimate the IES parameter to be larger than one, other studies, for example, Hall (1988), Campbell (1999), and Browning, Hansen, and Heckman (1999), argue that the IES parameter is well below one.”
The Forgone Gains of Incomplete Portfolios (2007, neutral): “However, the heterogeneity in the gains from participation and the fact that the wealthiest non-participants appear to forego substantially larger returns suggest that some caution is due when considering the participation cost hypothesis to explain non-participation among those with substantially l”
Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy (2010, neutral): “32 32 Studies that have looked at this issue include Luttmer (1999), Mankiw and Zeldes (1991), Basak and Cuoco (1998), Attanasio, Banks and Tanner (2002), Vissing-Jorgensen (2002), Paiella (2003), Attanasio and Paiella (2006) and Guvenen (2009).”