The Consumption of Stockholders and Non-Stockholders
N. Gregory Mankiw
Stephen P. Zeldes
Only one-fourth of U.S. families own stock. This paper examines whether
the consumption of stockholders differs from the consumption of non-stockholders
and whether these differences help explain the empirical failures
of the consumption-based CAPM. Household panel data are used to construct time
series on the consumption of each group. The results indicate that the
consumption of stockholders is more volatile than that of non-stockholders and
is more highly correlated with the excess return on the stock market. These
differences help explain the size of the equity premium, although they do not
fully resolve the equity premium puzzle.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.