Ownership of Stocks and Mutual Funds: A Panel Data Analysis
Rob Alessie (),
Stefan Hochguertel () and
Arthur van Soest ()
No 3, Royal Economic Society Annual Conference 2002 from Royal Economic Society
In many industrial countries, ownership rates of risky assets have risen substantially over the past decade. This trend has potentially wideñranging implications for the intertemporal and cross-sectional allocation of risk, and for the macro economy, establishing the need for understanding ownership dynamics at the micro level. This paper offers one of the first such analyses using representative panel survey data. We focus on the two main types of risky financial assets, mutual funds and individual stocks. We extend existing univariate dynamic binary choice models to the multivariate case and take account of interactions between the two types of assets. The models are estimated on data from the 1993ñ1998 waves of the Dutch CentER Savings Survey. We find that both unobserved heterogeneity and state dependence play a large role for both types of assets. Most of the positive relation between ownership of mutual funds in one period and ownership of individual stocks in the next period or vice versa, is explained by unobserved heterogeneity: if we account for correlation between the household specific effects in the two binary choice equations, we find a negative effect of lagged ownership of stocks on the ownership of mutual funds. These findings can be explained by adjustment costs that make it optimal to stick to one type of asset.
New Economics Papers: this item is included in nep-fin
References: Add references at CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed
Downloads: (external link)
http://repec.org/res2002/Alessie.pdf full text
Journal Article: Ownership of Stocks and Mutual Funds: A Panel Data Analysis (2004)
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 (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecj:ac2002:3
Access Statistics for this paper
More papers in Royal Economic Society Annual Conference 2002 from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().