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- W2147489422 abstract "We posit the time cost required for managing risky asset investment including conducting research and monitoring its performance. An economic agent, who should allocate a limited amount of time to labor, leisure and risky investment, is subject to the opportunity time cost, which is forgone labor or leisure. Our model investigates the change of the equity premium and volatility in the presence of such a time constraint. In particular, we derive the closed-form solutions for the risky asset returns, volatility, and risk-free rate in a simple equilibrium framework wherein agents have log utility. Our model is shown to yield the excess return and the volatility consistent with historical values observed in U.S. stock market even with a small amount of the time cost. In addition, we separate the impact of endogenous labor/leisure choice from the total changes on return dynamics by comparing with exogenous labor income case." @default.
- W2147489422 created "2016-06-24" @default.
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- W2147489422 date "2010-01-06" @default.
- W2147489422 modified "2023-09-24" @default.
- W2147489422 title "Endogenous Labor/Leisure/Investment Choice under Time Constraints" @default.
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