流动性、生命周期与投资组合相异性

3:ProbitTobit,:,,,,,;,,:3,,:100029,:[e-mail],[e-mail](),(:70373018),,11Markowitz(1952),Samuelson(1969)Merton(1969,1971):,;,,,;MankiwZeldes(1991),2716%(2006a)2003,,5136%Guo(2001),1998,1%,93%;10%,85%,HaliassosBertaut(1995),MankiwZeldes(1991)Saito(1995),,,7920072,,Vissing2Jorgensen(2002)PSID,,(Non2financialIncome),Bertaut(1994)BlumeZeldes(1994)BlumeFriend(1975)HeatonLucas(2000)Poterba(1993)(2006b),-(EpsteinZin(1989),Constantinide(1990),Heaton(1995),CampbellCochran(1999))()(Mayers(1973),AdersonDanthine(1981),CivitannicKaratzas(1992),HeatonLucas(2000))()(Samuelson(1969),KingLeape(1987),JagannathanKocherlakota(1996),Cocco,GomesMaenhout(1998)),Curcuru(2006),Canner(2003),,,,(nearrational),Curcuru(2006)(2006),,:MehraPrescott(1985)MehraPrescott(1985),CCAPM,,,,,,;,,,,,,,,Calvet,CampbellSodini(2006)2.,,,,(,2005),(KullmannSiegel,2003),,,,,,,,,,(2005)89:,,,Englund(2002),,,,,,,,,,KullmanandSiegel(2003),,,,,,Vissing2Jorgensen(2002),,HendersonIoannides(1983)Brueckner(1997)FlavinYamashita(2002),(backgroundrisk)3.,,,,,,,,,:,;,,;,,JagannathanKocherlakota(1996),,,,,,,,,,,122005,121526,:STOCKINVESTSTOCKTOLIQUIDSTOCKTOFINANCIAL,STOCKINVEST(2006a),,1,09920072STOCKTOLIQUIDSTOCKTOFINANCIALCocco(2004),,0,0,,Cocco(2004),;,Cocco(2004),Cocco(2004):RESTATEFINANCIAL,00,;,Cocco(2004),:35;3550;5065;65,age3550age5065age65,35505065651,0,:ageage2,Cocco(2004)KullmanSiegel(2003)(2006a),:Financialasset,Financialasset2:,,,,,,(Guiso,2004),Income,Income2:,,Houdebtasset,Cardebtrasset:Married,Div,Pop:,,Married=1,0,Div=1,Div=0,PopGender:,1,0,,Prime,Second,High,Colle,Ug:,Prime,Second,High,Colle,Ug,1,0,001:Beijing,Shanghai,Nanning,Chengdu,Lanzhou,Haikou,Shenyang,Zhuhai,Wuhan,Tianjin,Wenzhou,Changsha:,,Shanghai,Nanning,Chengdu,Lanzhou,Haikou,Shenyang,Zhuhai,Wuhan,Tianjin,Wenzhou,Changsha1,0,KullmannSiegel(2003),,,,,:STOCKINVEST=a0+a13RESTATEFINANCIAL+a23age3550+a33age5065+a43age65+a53Z+STOCKINVEST=a0+a13RESTATEFINANCIAL+a23age+a33age2+a43Z+STOCKTOLIQUID(STOCKTOFINANCIAL)=a0+a13RESTATEFINANCIAL+a23age3550+a33age5065+a43age65+a53Z+STOCKTOLIQUID(STOCKTOFINANCIAL)=a0+a13RESTATEFINANCIAL+a23age+a33age2+a43Z+,ZFinancialasset,Financialasset2,Income,Income2,Housedebtasset,Cardebtasset,Married,Div,Pop,Gender,Second,High,Colle,Ug,Beijing,Shanghai,Nanning,Chengdu,Lanzhou,Haikou,Shenyang,Zhuhai,Wuhan,TianjinWenzhou,,,Probit,Tobit,Probit,:y3i=xi+uiyi=1y3i00y3i0y3i,yi,xi,yi=(1-F(-xi))+i,FTobit,:y3i=xi+uiyi=y3iy3i00y3i0Probit,ProbitTobit(Wooldrige,2002),,,,10120072,OLS,,,0,ProbitTobit,1.,,1,23%,814%,315%,,,5418%41,3532%,3550,41%,506523%,654%3775469%,0126%,78%,212%,918%,48%,2%,15%,30%,25%,28%,16%,10%,7%,11%,12%,3%,13%,3%,7%,7%,5%,5%2,3520%,6524%,18%35,,,;65,,,65,65,,58%,,,,,,,,1165%,0118%,1168%3168%,65,653535505065657107%,8159%,9186%,9183%,U,,,?,,,,,,201:,,,,1STOCKINVEST0.232830100.422781.2643092.598477STOCKTOFINANCIAL0.0351030100.1089244.80973831.32964STOCKTOLIQUID0.08407301.0400.2016552.7241259.967197RESTATEFINANCIAL0.5477610.67100.36684-0.482951.676275AGE40.9223941831812.591610.1931992.484545AGE21833.082168168893241078.1720.8855033.885696AGE35500.4114010100.4922570.3600941.129668AGE50650.2300820100.421031.2826182.645109AGE650.0384620100.1923744.824.04FINANCIALASSET377545.622275054320000533912.84.26603129.02511INCOME4567.85930001200001007137.6899.436446122.2244HOUSEDEBTASSET0.0921501500.63917715.03908283.1961CARDEBTASSET0.00256900.8900.03144219.3041473.3545MARRIED0.7795331100.414704-1.348572.818645DIV0.0219780100.1466626.52092643.52247POP2.9945053810.8773420.7864226.598917GENDER0.4752750100.499560.0990221.009805PRIME0.0185440100.1349547.13756451.94482SECOND0.1517860100.3589361.9409234.767183HIGH0.2980770100.4575710.8828911.779496COLLE0.2451920100.4303491.1845982.403272UG0.282280100.4502640.9674091.935881BEIJING0.1627750100.3692871.8269874.337882SHANGHAI0.0954670100.293962.7532468.580363NANNING0.0748630100.263263.23090111.43872CHENGDU0.1119510100.3154142.4614187.058579LANZHOU0.1167580100.3212422.3868186.696899HAIKOU0.0336540100.1803985.17195427.74911SHENYANG0.1298080100.3362072.2029245.852875ZHUHAI0.0336540100.1803985.17195427.74911WUHAN0.0700550100.2553273.36895312.34984TIANJIN0.0700550100.2553273.36895312.34984WENZHOU0.0501370100.2183034.12286217.99799CHANGSHA0.0508240100.2197144.09013717.72922301200722353550506565P0.19180.18410.15850.24570.1829P0.56040.5830.61650.52230.5813P0.01650.01390.01310.00280.0142P0.07070.08590.09860.09830.0844P0.01250.0170.01860.03110.0165P0.00290.00080.002300.0018P0.02570.01290.01380.00320.0168P0.03310.03950.03040.0790.03683353550506565P0.0846440.0488050.038380.0494860.057933P0.2501280.1855290.1954940.1271880.206391P0.0084780.0041090.004360.0008260.005447P0.0348560.0342710.0396310.0481810.036227P0.0040230.0063130.0049740.0180930.005713P0.0011990.0003930.00091200.000757P0.010950.0035480.0062590.0014590.006476P0.0170650.010550.0056440.0037870.011251P0.0245130.0184090.01017400.017766P0.0221870.0289980.0185040.0014780.023335P0.0165840.0168880.0102240.0118940.015057P0.0114150.006070.0053150.0008910.007417P0.43