Asset Market Participation and Portfolio Choice over the Life-Cycle

• 成果类型: Article
• 署名作者: Fagereng, Andreas; Gottlieb, Charles; Guiso, Luigi
• 署名单位: Statistics Norway; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12484
• 发表日期: 2017
• 页码: 705-750
• 关键词: INTRINSIC ESTIMATOR; habit formation; RISK; COSTS; STOCK; consumption; selection; demand; equity

摘要

Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway.