This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers' consumption transactions and income to detailed portfolio data and survey responses on financial behavior. We find that private...

We estimate the life-cycle profile of stock market participation and risky portfolio share. We address the classical identification problem by running the estimations in first differences, which allows us to estimate the age profiles without making any assumptions on time or cohort effects. We...

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...

This paper explores the stock holdings of Spanish households. As found for other developed countries, the major part of Spanish households does not participate in the stock market. We analyse the impact that entry costs can have in this decision by looking at how wealth, education and a series...

This paper examines empirically the effect of the level of personal bankruptcy protection in the US on households' demand for financial assets. A Chapter 7 bankruptcy allows protecting the home equity up to a certain limit or "exemption". Previous literature shows that such exemption biases...