TY  - JOUR
AU  - Attanasio,Orazio
AU  - Banks,James
AU  - Tanner,Sarah
TI  - Asset Holding and Consumption Volatility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6567
PY  - 1998
Y2  - May 1998
UR  - http://www.nber.org/papers/w6567
L1  - http://www.nber.org/papers/w6567.pdf
N1  - Author contact info:
Orazio Attanasio
Department of Economics
University College London
Gower Street
London WC1E 6BT
UNITED KINGDOM
Tel: 44/20-76795880
Fax: 44/20-79162775
E-Mail: o.attanasio@ucl.ac.uk

James Banks
University College London
E-Mail: j.banks@ucl.ac.uk
AB  - Recent studies have explored the possibility that limited participation in asset markets, and the stock market in particular, might explain the lack of correspondence between the sample moments of the Intertemporal Marginal Rate of Substitution and asset returns.  We estimate ownership probabilities to separate  likely' shareholders from non-shareholders, enabling us to control for changing composition effects as well as selection into the group.  We then construct estimates of the IMRS for each of these different groups and consider their time series properties.  We find that the consumption growth of shareholders is more volatile than that of non-shareholders, and more highly correlated with excess returns to shares.  In particular, one cannot reject the predictions of the Consumption CAPM for the group of households predicted to own both assets.  This is in contrast to the failure of the model when estimated on data for all households.
ER  -