| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15370 |
| DP15370 Income Risk, Ownership Dynamics, and Portfolio Decisions | |
| Yosef Bonaparte; George Korniotis; Alok Kumar | |
| 发表日期 | 2020-10-14 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This study examines the stock market entry and exit decisions of U.S. households. We find that a significant portion of households enters or exits from their non-retirement investment accounts biennially. Cross-sectional and time-series tests indicate that income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data shows that idiosyncratic income shocks are more important for dynamic equity ownership decisions than aggregate stock market risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor (= 0.97). |
| 主题 | Financial Economics |
| 关键词 | Market entry/exit Non-retirement accounts Income risk Ownership turnover Trading costs |
| URL | https://cepr.org/publications/dp15370-1 |
| 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/544352 |
| 推荐引用方式 GB/T 7714 | Yosef Bonaparte,George Korniotis,Alok Kumar. DP15370 Income Risk, Ownership Dynamics, and Portfolio Decisions. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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