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Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation
Payá, Ivan; Wang, Peng - In: Journal of empirical finance 38 (2016), pp. 221-235
Persistent link: https://www.econbiz.de/10011663298
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2019
We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population … percentile. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and … risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth …
Persistent link: https://www.econbiz.de/10012901496
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years ofpopulation data … standard deviation of 8%). Second,heterogeneity in returns does not arise merely from differences in the allocation of wealth … with wealth: moving from the 10th to the 90th percentile of the financial wealth distributionincreases the return by 3 …
Persistent link: https://www.econbiz.de/10012912494
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population … of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are … positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the …
Persistent link: https://www.econbiz.de/10012913195
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
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Heterogeneity in Returns to Wealth - Evidence from Swiss Administrative Data
Brunner, Marc; Meier, Jonas; Naef, Armando - 2021
data, we can neatly describe the heterogeneity across all parts of the distribution of wealth. We find compelling evidence … undocumented channel through which wealth inequality reinforces itself …
Persistent link: https://www.econbiz.de/10013219943
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Online Appendix for 'Ambiguity Aversion and Household Portfolio Choice Puzzles : Empirical Evidence'
Dimmock, Stephen G. - 2017
Persistent link: https://www.econbiz.de/10012955743
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Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts
Antoniou, Constantinos - 2019
Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesize that analyst forecasts for smaller companies are relatively more ambiguous; hence...
Persistent link: https://www.econbiz.de/10012906172
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Ambiguity Aversion and Household Portfolio Choice Puzzles : Empirical Evidence
Dimmock, Stephen G. - 2016
theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial …
Persistent link: https://www.econbiz.de/10013007875
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Ambiguity Aversion and Household Portfolio Choice Puzzles : Empirical Evidence
Dimmock, Stephen G. - 2020
theory predicts, ambiguity aversion is negatively associated with stock market participation, the fraction of financial …
Persistent link: https://www.econbiz.de/10012857183