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Costly portfolio adjustment

Author: Yosef Bonaparte; Russell W Cooper; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2009.
Series: Working paper series (National Bureau of Economic Research), no. 15227.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper studies the dynamic optimization problem of a household when portfolio adjustment is costly. The analysis is motivated by the observation that on a monthly basis, less than 10% of stockholders typically adjust their portfolio of common stocks. We use this, and related observations, to estimate the parameters of household preferences and portfolio adjustment costs. We find significant adjustment costs,  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yosef Bonaparte; Russell W Cooper; National Bureau of Economic Research.
OCLC Number: 430836244
Notes: "August 2009."
Description: 1 online resource (18 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 15227.
Responsibility: Yosef Bonaparte, Russell Cooper.

Abstract:

This paper studies the dynamic optimization problem of a household when portfolio adjustment is costly. The analysis is motivated by the observation that on a monthly basis, less than 10% of stockholders typically adjust their portfolio of common stocks. We use this, and related observations, to estimate the parameters of household preferences and portfolio adjustment costs. We find significant adjustment costs, beyond the direct costs of buying and selling assets. These adjustment costs imply that inferences drawn about household risk aversion and the elasticity of intertemporal substitution are biased: household risk aversion is lower compared to other estimates and it is not equal to the inverse of the elasticity of intertemporal substitution.

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