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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
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
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Type of Publication: Article
Language: English
Published: 2004
Keywords: research-article
Online: Volltext
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520 |a 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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700 1 |a van Soest, Arthur  |e verfasserin  |4 aut 
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