Portfolio choice and trading in a large 401(k) plan

• 成果类型: Article
• 署名作者: Agnew, J; Balduzzi, P; Sundén, A
• 署名单位: William & Mary; Boston College; Boston College
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/000282803321455223
• 发表日期: 2003
• 页码: 193-215
• 关键词: transaction costs; predictability; GENDER

摘要

We study nearly 7,000 retirement accounts during the April 1994-August 1998 period. Several interesting patterns emerge. Most asset allocations are extreme (either 100 percent or zero percent in equities) and there is inertia in asset allocations. Equity allocations are higher for males, married investors, and for investors with higher earnings and more seniority on the job; equity allocations are lower for older investors. There is very limited portfolio reshuffling, in sharp contrast to discount brokerage accounts. Daily changes in equity, allocations correlate only weakly with same-day equity returns and do not correlate with future equity returns.