Essays in financial economics

This dissertation consists of three essays in financial economics, with a focus on household financial decisions and their implications for asset pricing and macroeconomic dynamics. In Chapter 1, I use data on the portfolio holdings and income of millions of US retirement investors to show that positive and persistent shocks to income lead to a significant increase in the equity share of investor portfolios, while increases in financial wealth due to realized returns lead to a small decline in the equity share. In a standard homothetic life-cycle model with human capital and constant risk aversion, the portfolio responses to these two wealth shocks should be of equal magnitude and opposite sign. The positive net effect in the data is evidence for risk aversion that decreases in total wealth. In Chapter 2, I show that decreasing relative risk aversion preferences have significant long-run implications for inequality and asset prices.

Name thesis:degree_name

Doctoral

Department dc:contributor.department

Sloan School of Management

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2020

Author dc:creator

• Meeuwis, Maarten.

Advisor dc:contributor.advisor

• Jonathan A. Parker.

• Sloan School of Management.

Statement dc:rights

• MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1721.1/126978

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/126978