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Original Articles

Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios

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References

  • Bonaparte, Y., and R. Cooper. 2009. “Costly Portfolio Adjustment.” NBER Working Paper # 15227.
  • Hansen, L. P., and K. J. Singleton. 1983. “Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns.” Journal of Political Economy 91: 249–265. doi:10.1086/261141.
  • Mankiw, N. G., and S. P. Zeldes. 1991. “The Consumption of Stockholders and Nonstockholders.” Journal of Financial Economics 29: 97–112. doi:10.1016/0304-405X(91)90015-C.
  • Statman, M. 2004. “The Diversification Puzzle.” Financial Analysts Journal 60: 44–53. doi:10.2469/faj.v60.n4.2636.

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