Favilukis, Jack (2013) Inequality, stock market participation, and the equity premium. Journal of Financial Economics, 107 (3). pp. 740-759. ISSN 0304-405X
Full text not available from this repository.Abstract
The last 30 years saw substantial increases in wealth inequality and stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and the expected equity premium, as well as a prolonged stock market boom. In an incomplete markets, overlapping generations model I jointly explain these trends by the observed rise in wage inequality, decrease in participation costs, and loosening of borrowing constraints. After accounting for these changes, I show that the stock market played a major role in increasing wealth inequality. Crucially, these phenomena must be considered jointly; studying one independently leads to counterfactual predictions about others.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-financ... |
| Additional Information: | © 2013 Elsevier B.V. |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E21 - Macroeconomics: Consumption; Saving; Aggregate Physical and Financial Consumer Wealth E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates |
| Date Deposited: | 28 Nov 2012 11:59 |
| Last Modified: | 12 Dec 2024 00:17 |
| URI: | http://eprints.lse.ac.uk/id/eprint/37423 |
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