| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15859 |
| 来源ID | Working Paper 15859 |
| Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios | |
| Laurent E. Calvet; Paolo Sodini | |
| 发表日期 | 2010-04-02 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper investigates the determinants of financial risk-taking in a panel containing the asset holdings of Swedish twins. We measure the impact of a broad set of demographic, financial, and portfolio characteristics, and use yearly twin pair fixed effects to control for genes and shared background. We report a strong positive relation between risky asset market participation and financial wealth. Among participants, the average financial wealth elasticity of the risky share is significantly positive and estimated at 22%, which suggests that the average individual investor has decreasing relative risk aversion. Furthermore, the financial wealth elasticity of the risky share itself is heterogeneous across investors and varies strongly with characteristics. The elasticity decreases with financial wealth and human capital, and increases with habit, real estate wealth and household size. As a consequence, the elasticity of the aggregate demand for risky assets to exogenous wealth shocks is close to, but does not coincide with, the elasticity of a representative investor with constant relative risk aversion. We confirm the robustness of our results by running time-differenced instrumental variable regressions, and by controlling for zygosity, lifestyle, mental and physical health, the intensity of communication between twins, and measures of social interactions. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Households and Firms ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15859 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573534 |
| 推荐引用方式 GB/T 7714 | Laurent E. Calvet,Paolo Sodini. Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15859.pdf（452KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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