| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15382 |
| 来源ID | Working Paper 15382 |
| Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing? | |
| Yi-Li Chien; Harold L. Cole; Hanno Lustig | |
| 发表日期 | 2009-09-24 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Our paper examines whether the well-documented failure of unsophisticated investors to rebalance their portfolios can help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer this question, we set up a model in which CRRA-utility investors have heterogeneous trading technologies. In our model, a large mass of investors do not re-balance their portfolio shares in response to aggregate shocks, while a smaller mass of active investors adjust their portfolio each period to respond to changes in the investment opportunity set. We find that these intermittent re-balancers 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15382 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573057 |
| 推荐引用方式 GB/T 7714 | Yi-Li Chien,Harold L. Cole,Hanno Lustig. Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15382.pdf（469KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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