| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9691 |
| DP9691 Asset Market Participation and Portfolio Choice over the Life Cycle | |
| Luigi Guiso; Charles Gottlieb; Andreas Fagereng | |
| 发表日期 | 2013-10-20 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We study the life cycle of portfolio allocation following for 15 years a large random sample of Norwegian households using error-free data on all components of households? investments drawn from the Tax Registry. Both, participation in the stock market and the portfolio share in stocks, have important life cycle patterns. Participation is limited at all ages but follows a hump-shaped profile which peaks around retirement; the share invested in stocks among the participants is high and flat for the young but investors start reducing it as retirement comes into sight. Our data suggest a double adjustment as people age: a rebalancing of the portfolio away from stocks as they approach retirement, and stock market exit after retirement. Existing calibrated life cycle models can account for the first behavior but not the second. We show that incorporating in these models a reasonable per period participation cost can generate limited participation among the young but not enough exit from the stock market among the elderly. Adding also a small probability of a large loss when investing in stocks, produces a joint pattern of participation and of the risky asset share that is similar to the one observed in the data. A structural estimation of the relevant parameters of the model reveals that the parameter combination that fits the data best is one with a relatively large risk aversion, small participation cost and a yearly large loss probability of around 1.3 percent. |
| 主题 | Financial Economics |
| 关键词 | Portfolio rebalancing Asset allocation Asset market participation Life cycle Portfolio choice |
| URL | https://cepr.org/publications/dp9691 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538527 |
| 推荐引用方式 GB/T 7714 | Luigi Guiso,Charles Gottlieb,Andreas Fagereng. DP9691 Asset Market Participation and Portfolio Choice over the Life Cycle. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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