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• W2550369769 abstract "A significant fraction of the population in any country with a liquid stock market do not hold stocks, despite the international evidence on a historically high equity risk premium. Whereas the phenomenon of Limited Stock Market Participation has been used to explain several other asset pricing puzzles, only a few studies address the equilibrium foundation for non-participation. Yet, to understand the sources of non-participation is of great importance for portfolio managers, regulators and academics. We develop a consumption based asset pricing model, in the spirit of Lucas (1978) , with incomplete financial markets. The model incorporates heterogeneous endowments, heterogeneous labour income processes, and heterogeneous preferences with external additive habit formation, also known as “Catching up with the Joneses,” that is: investors maximize life-time utility over surplus consumption. One investor serves as the representative stand-in for all stockholders, whereas the second would-be investor represents potential non-participants." @default.
• W2550369769 created "2016-11-30" @default.
• W2550369769 creator A5051707679 @default.
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• W2550369769 date "2012-01-01" @default.
• W2550369769 modified "2023-09-24" @default.
• W2550369769 title "Using the NAG Library to solve a General Equilibrium Model with Endogenous Stock Market Non-participation" @default.
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