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Canadian consumption and portfolio shares

Author

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  • Michel Normandin
  • Pascal St-Amour

Abstract

In this paper we gauge consumption and portfolio shares, rather than the traditional pricing implications. We study both aggregated (financial, tangible, and human) and disaggregated (deposits, stocks, insurance, and pensions) assets. The empirical shares are computed from recent aggregate Canadian data. The theoretical shares are constructed from a flexible specification of both investors' preferences and investment opportunities. Our results reveal that the theoretical shares statistically match observed consumption and aggregated assets, but not disaggregated assets. Also, our findings for corporate stocks are consistent with the empirical asset returns literature. Finally, our findings for other assets highlight several new striking features.

Suggested Citation

  • Michel Normandin & Pascal St-Amour, 2002. "Canadian consumption and portfolio shares," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 737-756, November.
    • Handle: RePEc:cje:issued:v:35:y:2002:i:4:p:737-756
    DOI: 10.1111/1540-5982.00152
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    Cited by:

    1. Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," CIRANO Working Papers 2005s-07, CIRANO.
    2. Normandin, Michel & St-Amour, Pascal, 2008. "An empirical analysis of aggregate household portfolios," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1583-1597, August.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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