This paper investigates the existence and degree of variation across house holds and over time in the intertemporal elasticity of substitution (IES) and the coefficient of relative risk aversion (RRA) that is generated by habit forming preferences. To do so, we develop a new nonlinear GMM...

In this paper, we study the risk-return relationship in monthly U.S. stock returns (1928:1— 2004:12) using GARCH-in-Mean models. In particular, we consider the robustness of the relationship with respect to the omission of the intercept term in the equation for the expected excess return...

While there is no abstract for this paper, it makes an argument that relative risk aversion is decreasing in wealth rather than increasing in wealth as hypothesized by Arrow, using the money demand findings of Friedman.

Non professional investors display a much higher degree of home bias than fiancial investors suggesting that they might be more severely a¤ected by information asymmetry issues. In particular, non professional investors, having less easily access to information on foreign firm-specific...

This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory de- �ned contribution retirement plan. The paper develops the implications and describes the construction and administration of a...

Savings accounts are owned by most households, but little is known about the performance of households’ investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and...