Ownership of Stocks and Mutual Funds: A Panel Data Analysis
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... Full description
| 1st Person: | Alessie, Rob |
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| Additional Persons: | Hochguertel, Stefan verfasserin; van Soest, Arthur verfasserin |
| Source: |
in The review of economics and statistics Vol. 86, No. 3 (2004), p. 783-796  More Articles |
| Type of Publication: | Article |
| Language: | English |
| Published: |
2004 |
| Keywords: |
research-article
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| Online: |
Volltext |
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| Summary: |
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 statedependence 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. |
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| Item Description: |
Copyright: Copyright 2004 The President and Fellows of Harvard College and the Massachusetts Institute of Technology |
| Physical Description: |
Online-Ressource |
| ISSN: |
1530-9142 |