Portfolio Choice Over The Life - Cycle When The Stock and Labor Marktets are Cointegrated  

Oleh:

Benzoni, Luca ; Collin-Dufresne, Pierre ; Goldstein, Robert S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 5 (Oct. 2007), page 2123-2168.
Topik: labor markets; portfolio; life - cycle; stock; labor market
Fulltext: p 2123.pdf (335.41KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes "stock - like". However, for older agents with shorter times - to - retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more "bond - like". Together, these effects creat hump - shaped life - cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for.

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