Ownership of Stocks and Mutual Funds

A Panel Data Analysis

R.J.M. Alessie, S. Hochgürtel, A.H.O. van Soest

Research output: Working paperDiscussion paperOther research output

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Abstract

In many industrial countries, ownership rates of risky assets have risen substantially over the past decade.This trend has potentially wide-ranging implications for the intertemporal and cross-sectional allocation of risk, and for the macro economy, establishing the need for understanding ownership dynamics at the micro level.This paper offers one of the first such analyses using representative panel survey data.We focus on the two main types of risky financial assets, mutual funds and individual stocks.We extend existing univariate dynamic binary choice models to the multivariate case and take account of interactions between the two types of assets.The models are estimated on data from the 1993-1998 waves of the Dutch CentER Savings Survey.We find that both unobserved heterogeneity and state dependence play a large role for both types of assets.Most of the positive relation between ownership of mutual funds in one period and ownership of individual stocks in the next period or vice versa, is explained by unobserved heterogeneity: if we account for correlation between the household specific effects in the two binary choice equations, we find a negative effect of lagged ownership of stocks on the ownership of mutual funds.These findings can be explained by adjustment costs that make it optimal to stick to one type of asset.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages39
Volume2001-94
Publication statusPublished - 2001

Publication series

NameCentER Discussion Paper
Volume2001-94

Fingerprint

Ownership
Panel data analysis
Mutual funds
Assets
Unobserved heterogeneity
Adjustment costs
Survey data
Macroeconomy
Household
Binary choice model
State dependence
Financial assets
Binary choice
Savings
Interaction
Developed countries

Keywords

  • stock ownership
  • investment trusts
  • panel data

Cite this

Alessie, R. J. M., Hochgürtel, S., & van Soest, A. H. O. (2001). Ownership of Stocks and Mutual Funds: A Panel Data Analysis. (CentER Discussion Paper; Vol. 2001-94). Tilburg: Econometrics.
Alessie, R.J.M. ; Hochgürtel, S. ; van Soest, A.H.O. / Ownership of Stocks and Mutual Funds : A Panel Data Analysis. Tilburg : Econometrics, 2001. (CentER Discussion Paper).
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Alessie, RJM, Hochgürtel, S & van Soest, AHO 2001 'Ownership of Stocks and Mutual Funds: A Panel Data Analysis' CentER Discussion Paper, vol. 2001-94, Econometrics, Tilburg.

Ownership of Stocks and Mutual Funds : A Panel Data Analysis. / Alessie, R.J.M.; Hochgürtel, S.; van Soest, A.H.O.

Tilburg : Econometrics, 2001. (CentER Discussion Paper; Vol. 2001-94).

Research output: Working paperDiscussion paperOther research output

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Y1 - 2001

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Alessie RJM, Hochgürtel S, van Soest AHO. Ownership of Stocks and Mutual Funds: A Panel Data Analysis. Tilburg: Econometrics. 2001. (CentER Discussion Paper).