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New Evidence on Taxes and Portfolio Choices
(CFAP, Cambridge Judge Business School, University of Cambridge, 2009-05)
Identifying the effect of differential taxation on portfolio allocation requires exogenous variation in marginal tax rates. Marginal tax rates vary with income, but income surely affects portfolio choice directly. In systems ...
Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation
(CFAP, Cambridge Judge Business School, University of Cambridge, 2008-01)
We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectation errors directly; we refer to it as Synthetic Residual Estimation (SRE). The flexibility of ...
Do Disaster Expectations Explain Household Portfolios?
(CFAP, Cambridge Judge Business School, University of Cambridge, 2010-03)
It has been argued that rare economic disasters can explain most asset pricing puzzles. If this is the case, perceived risk associated with a disaster in stock markets should be revealed in household portfolios. That is, ...
An empirical analysis of subprime consumer credit demand
(2010)
We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest ...