The Resource Asset market participation and portfolio choice over the life cycle, Andreas Fagereng, Charles Gottlieb and Luigi Guiso, (electronic resource)

Asset market participation and portfolio choice over the life cycle, Andreas Fagereng, Charles Gottlieb and Luigi Guiso, (electronic resource)

Label
Asset market participation and portfolio choice over the life cycle
Title
Asset market participation and portfolio choice over the life cycle
Statement of responsibility
Andreas Fagereng, Charles Gottlieb and Luigi Guiso
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
GZM
http://library.link/vocab/creatorName
Fagereng, Andreas
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Gottlieb, Charles
  • Guiso, Luigi
  • Centre for Economic Policy Research (Great Britain)
Series statement
  • Discussion paper series,
  • Financial economics
Series volume
no. 9691
http://library.link/vocab/subjectName
  • Asset allocation
  • Portfolio management
  • Investment analysis
  • Stocks
Label
Asset market participation and portfolio choice over the life cycle, Andreas Fagereng, Charles Gottlieb and Luigi Guiso, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Instantiates
Publication
Note
  • "October 2013."
  • "Submitted 01 October 2013."
Bibliography note
Includes bibliographical references (pages 35-38)
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17468206
Extent
1 online resource (38 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)861233580
Label
Asset market participation and portfolio choice over the life cycle, Andreas Fagereng, Charles Gottlieb and Luigi Guiso, (electronic resource)
Link
http://www.cepr.org.ezproxy.eui.eu/content/discussion-papers
Publication
Note
  • "October 2013."
  • "Submitted 01 October 2013."
Bibliography note
Includes bibliographical references (pages 35-38)
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17468206
Extent
1 online resource (38 pages)
Form of item
online
Media category
computer
Media MARC source
rdamedia.
Media type code
c
Other physical details
illustrations.
Specific material designation
remote
System control number
(OCoLC)861233580

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