NDLI: Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

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Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

Content Provider	Scilit
Author	Rachedi, Omar
Copyright Year	2017
Description	Journal: SSRN Electronic Journal Can households’ inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and across agents. I find that inattention explains the inertia in portfolio rebalancing and its heterogeneity across households. Inattention also rationalises the limited stock market participation observed in the data, and improves the asset pricing performance of the model. Finally, I present a novel testable implication linking the effects of inattention on portfolio choices and asset prices to households’ funding liquidity.
Related Links	http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/16/Fich/dt1633e.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2900151
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2900151
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-01-16
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Asset Prices Stock Market Portfolio Rebalancing
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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