Ownership of Stocks and Mutual Funds: A Panel Data Analysis

Rob Alessie, Stefan Hochguertel and Arthur van Soest ()
Additional contact information
Stefan Hochguertel: Free University Amsterdam

The Review of Economics and Statistics, 2004, vol. 86, issue 3, 783-796

Abstract: This paper analyzes the ownership dynamics of stocks and mutual funds, using representative household panel data, the Dutch CentER Savings Survey 1993-1998. A bivariate dynamic binary-choice model is introduced, allowing for interactions between the two types of assets. We find that unobserved heterogeneity and state dependence play a large role for both types of assets. The positive relation between ownership of one type in one period and the other type in the next period is explained by correlated unobserved heterogeneity. A negative state-dependence effect of lagged ownership of stocks on ownership of mutual funds is found, which can be explained by the costs of shifting funds across the two forms of stockholding. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (109)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/0034653041811761 link to full text (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Ownership of stocks and mutual funds: A panel data analysis (2004)
Working Paper: Ownership of Stocks and Mutual Funds: A Panel Data Analysis (2002)
Working Paper: Ownership of Stocks and Mutual Funds: A Panel Data Analysis (2001)
Working Paper: Ownership of Stocks and Mutual Funds: A Panel Data Analysis (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:86:y:2004:i:3:p:783-796

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().