Following recent developments in the literature about portfolio choices (Flavin and Yamashita, 2002; Cocco, 2004; Yao and Zhang, 2005), this paper analyses the empirical link between stockholding and housing wealth. We use the French wealth survey (Enquête Patrimoine2004, Insee) that give us detailed informa- tion on households portfolio composition (housing and nancial wealth, mort- gages), socio-demographic variables, and several measures of attitudes (risk aversion, scales on time preference) and exposition to various risks (income, unemployment, health, business). We nd that housing wealth crowds out stock market participation: a homeowner who moves from the rst decile of the distribution of the housing wealth to the last one increases his probability to own stocks from 0.18 to 0.37. Among the other signi cant determinants of the equity premium puzzle, we emphasize the role of transaction and information costs, the attitude toward risk and the exposition to various risks in hampering investments in stocks.
