원문정보
초록
영어
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.
목차
1 Introduction
2 The Model
2.1 The Time Cost and the Time Constraint
2.2 The Economic Framework and the Preference
3 Equilibrium Prices
3.1 Standard Asset Pricing Formula (Euler Equation)
3.2 The Special Case: Log Utility Case
3.3 The Benchmark Models
4 Interpretations
4.1 Equity Premium and Its Volatility
4.2 The Opportunity Cost E®ect of the Time required for Risky Investment
4.3 The E®ect of Endogenous Labor/Leisure Choice
5 Sensitivity Test corresponding to Parameters
5.1 The Volatility of Full Labor Income: σF
5.2 The Correlation b/w Dividend and Full Labor Income: p
5.3 The Preference to Non-Leisure Consumption: r
6 Conclusion
Appendix
References
Table
Figure