Stock Market Ownership Transitions

• 成果类型: Article
• 署名作者: Bonaparte, Yosef; Korniotis, George M.; Kumar, Alok; Michaelides, Alexander; Zhang, Yuxin
• 署名单位: Children's Hospital Colorado; University of Colorado System; University of Colorado Anschutz Medical Campus; University of Colorado Denver; University of Miami; Imperial College London; University of Nottingham Ningbo China
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.00290
• 发表日期: 2025
• 关键词: stock market transitions; trading costs; life cycle portfolio decisions; Rare disaster; income and wealth shocks

摘要

A significant portion of U.S. households enters and exits investment accounts. Empirically, income and wealth changes are related to these transitions, with income changes not affecting the retired. A life cycle model with participation costs cannot match the observed ownership dynamics, but an extension with stock market crash better fits the average participation rate and ownership transitions of the middle-aged and retired. This extended model does not match the ownership dynamics of the young, which are better captured by a model with elevated income risk. Overall, these findings indicate that ownership transitions respond to wealth shocks across the life cycle, both in our model and the data.