Pump up the Volume: Income Risk and Counter-cyclical Asset Trading
Tóm tắt
This paper develops a model of consumption smoothing using financial assets, incomplete markets, and idiosyncratic shocks. It contributes to the literature on asset markets by exposing a structural break in stock trading volume in the 1970s, which in turn demonstrates a negative correlation between trading volume and aggregate output. The model is able to not only match the correct sign of this correlation but also a portion of the standard deviation of turnover.
Tài liệu tham khảo
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