Stock Market Ownership Transitions

Published Online:https://doi.org/10.1287/mnsc.2023.00290

References

  • Addoum JM, Korniotis G, Kumar A (2016) Stature, obesity, and portfolio choice. Management Sci. 63(10):3393–3413.LinkGoogle Scholar
  • Alan S (2006) Entry costs and stock market participation over the life cycle. Rev. Econom. Dynamics 9:588–611.CrossrefGoogle Scholar
  • Angerer X, Lam P (2009) Income risk and portfolio choice: An empirical study. J. Finance 64(2):1037–1055.CrossrefGoogle Scholar
  • Attanasio O, Paiella M (2011) Intertemporal consumption choices, transaction costs and limited participation in financial markets: Reconciling data and theory. J. Appl. Econometrics 26:322–343.CrossrefGoogle Scholar
  • Barber BM, Odean T (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. J. Finance 55(2):773–806.CrossrefGoogle Scholar
  • Barber BM, Odean T (2001) Boys will be boys: Gender, overconfidence, and common stock investment. Quart. J. Econom. 116(1):261–292.CrossrefGoogle Scholar
  • Barro RJ (2006) Rare disasters and asset markets in the twentieth century. Quart. J. Econom. 121(3):823–866.CrossrefGoogle Scholar
  • Barro RJ, Jin T (2021) Rare events and long-run risks. Rev. Econom. Dynamics 39:1–25.CrossrefGoogle Scholar
  • Bertaut CC, Haliassos M (1997) Precautionary portfolio behavior from a life cycle perspective. J. Econom. Dynamic Control 21(8–9):1511–1542.CrossrefGoogle Scholar
  • Bilias Y, Georgarakos D, Haliassos M (2010) Portfolio inertia and stock market fluctuations. J. Money Credit Bank. 42(4):715–742.CrossrefGoogle Scholar
  • Bonaparte Y, Cooper R, Zhu G (2012) Consumption smoothing and portfolio rebalancing: The effects of adjustment costs. J. Monetary Econom. 59(8):751–768.CrossrefGoogle Scholar
  • Bonaparte Y, Korniotis G, Kumar A (2014) Income hedging and portfolio decisions. J. Financial Econom. 113:300–324.CrossrefGoogle Scholar
  • Brown JR, Fang C, Gomes F (2015) Risk and returns to education over time. Center for Financial Studies (CFS) Working Paper Series No. 512, Frankfurt am Main, Germany.Google Scholar
  • Brown JR, Ivković Z, Smith PA, Weisbenner S (2008) Neighbors matter: Causal community effects and stock market participation. J. Finance 63(3):1509–1531.CrossrefGoogle Scholar
  • Brunnermeier MK, Nagel S (2008) Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals. Amer. Econom. Rev. 98(3):713–736.CrossrefGoogle Scholar
  • Calvet LE, Campbell JY, Sodini P (2007) Down or out: Assessing the welfare costs of household investment mistakes. J. Political Econom. 115:707–747.CrossrefGoogle Scholar
  • Calvet LE, Campbell JY, Sodini P (2009) Fight or flight? Portfolio rebalancing by individual investors. Quart. J. Econom. 124(1):301–348.CrossrefGoogle Scholar
  • Calvet L, Gonzalez-Eiras M, Sodini P (2004) Financial innovation, market participation, and asset prices. J. Financial Quant. Anal. 39(3):431–459.CrossrefGoogle Scholar
  • Campbell JY (2006) Household finance. J. Finance 61(4):1553–1604.CrossrefGoogle Scholar
  • Campbell JY, Viceira LM (2002) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (Oxford University Press, New York).CrossrefGoogle Scholar
  • Campbell JY, Cocco JF, Gomes FJ, Maenhout PJ (2001a) Investing retirement wealth: A life cycle model. Risk Aspects of Investment-Based Social Security Reform (University of Chicago Press, Chicago), 439–482.CrossrefGoogle Scholar
  • Campbell JY, Cocco J, Gomes F, Maenhout PJ, Viceira LM (2001b) Stock market mean reversion and the optimal equity allocation of a long-lived investor. Rev. Finance 5(3):269–292.CrossrefGoogle Scholar
  • Carroll CD (1997) Buffer-stock saving and the life cycle/permanent income hypothesis. Quart. J. Econom. 112(1):1–55.CrossrefGoogle Scholar
  • Cocco JF, Gomes FJ, Maenhout PJ (2005) Consumption and portfolio choice over the life cycle. Rev. Financial Stud. 18(2):491–533.CrossrefGoogle Scholar
  • Cole S, Paulson A, Shastry GK (2014) Smart money? The effect of education on financial outcomes. Rev. Financial Stud. 27(7):2022–2051.CrossrefGoogle Scholar
  • Constantinides GM (1976) Stochastic cash management with fixed and proportional transaction costs. Management Sci. 22(12):1320–1331.LinkGoogle Scholar
  • Constantinides GM (1986) Capital market equilibrium with transaction costs. J. Political Econom. 94(4):842–862.CrossrefGoogle Scholar
  • Davis SJ, Kubler F, Willen P (2006) Borrowing costs and the demand for equity over the life cycle. Rev. Econom. Statist. 88(2):348–362.CrossrefGoogle Scholar
  • Dorn D, Sengmueller P (2009) Trading as entertainment? Management Sci. 55(4):591–603.LinkGoogle Scholar
  • Dumas B, Luciano E (1991) An exact solution to a dynamic portfolio choice problem under transactions costs. J. Finance 46(2):577–595.CrossrefGoogle Scholar
  • Epstein LG, Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.CrossrefGoogle Scholar
  • Fagereng A, Gottlieb C, Guiso L (2017) Asset market participation and portfolio choice over the life cycle. J. Finance 72(2):705–750.CrossrefGoogle Scholar
  • Galaasen S, Raja A (2024) The dynamics of stock market participation. Preprint, submitted January 30, http://dx.doi.org/10.2139/ssrn.4711620.Google Scholar
  • Gârleanu N, Pedersen LH (2013) Dynamic trading with predictable returns and transaction costs. J. Finance 68(6):2309–2340.CrossrefGoogle Scholar
  • Gennotte G, Jung A (1994) Investment strategies under transaction costs: The finite horizon case. Management Sci. 40(3):385–404.LinkGoogle Scholar
  • Gollier C (2001) Wealth inequality and asset pricing. Rev. Econom. Stud. 68(1):181–203.CrossrefGoogle Scholar
  • Gomes F (2020) Portfolio choice over the life cycle: A survey. Annu. Rev. Financial Econom. 12:277–304.CrossrefGoogle Scholar
  • Gomes F, Michaelides A (2005) Optimal life cycle asset allocation: Understanding the empirical evidence. J. Finance 60(2):869–904.CrossrefGoogle Scholar
  • Gomes F, Michaelides A (2008) Asset pricing with limited risk sharing and heterogeneous agents. Rev. Financial Stud. 21(1):415–448.CrossrefGoogle Scholar
  • Gomes F, Haliassos M, Ramadorai T (2021) Household finance. J. Econom. Literature 59(3):919–1000.CrossrefGoogle Scholar
  • Gomes F, Michaelides A, Polkovnichenko V (2009) Optimal savings with taxable and tax-deferred accounts. Rev. Econom. Dynamics 12(4):718–735.CrossrefGoogle Scholar
  • Grinblatt M, Keloharju M (2009) Sensation seeking, overconfidence, and trading activity. J. Finance 64:549–578.CrossrefGoogle Scholar
  • Guiso L, Sapienza P, Zingales L (2008) Trusting the stock market. J. Finance 63(6):2557–2600.CrossrefGoogle Scholar
  • Guvenen F, Ozkan S, Song J (2014) The nature of countercyclical income risk. J. Political Econom. 122(3):621–660.CrossrefGoogle Scholar
  • Haliassos M, Bertaut C (1995) Why do so few hold stocks? Econom. J. (London) 105(432):1110–1129.Google Scholar
  • Haliassos M, Michaelides A (2003) Portfolio choice and liquidity constraints. Internat. Econom. Rev. 44(1):143–177.CrossrefGoogle Scholar
  • Heaton J, Lucas DJ (1996) Evaluating the effects of incomplete markets on risk sharing and asset pricing. J. Political Econom. 104(3):443–487.CrossrefGoogle Scholar
  • Hong H, Kubik JD, Stein JC (2004) Social interaction and stock-market participation. J. Finance 59(1):137–163.CrossrefGoogle Scholar
  • Korniotis GM, Kumar A (2013) Do portfolio distortions reflect superior information or psychological biases? J. Financial Quant. Anal. 48(01):1–45.CrossrefGoogle Scholar
  • Liu H, Loewenstein M (2002) Optimal portfolio selection with transaction costs and finite horizons. Rev. Financial Stud. 15(3):805–835.CrossrefGoogle Scholar
  • Longstaff FA (2001) Optimal portfolio choice and the valuation of illiquid securities. Rev. Financial Stud. 14(2):407–431.CrossrefGoogle Scholar
  • Lusardi A, Michaud P-C, Mitchell OS (2017) Optimal financial knowledge and wealth inequality. J. Political Econom. 125(2):431–477.CrossrefGoogle Scholar
  • Luttmer EGJ (1999) What level of fixed costs can reconcile consumption and stock returns? J. Political Econom. 107(5):969–997.CrossrefGoogle Scholar
  • Malmendier U, Nagel S (2011) Depression babies: Do macroeconomic experiences affect risk taking? Quart. J. Econom. 126(1):373–416.CrossrefGoogle Scholar
  • Odean T (1999) Do investors trade too much? Amer. Econom. Rev. 89(5):1279–1298.CrossrefGoogle Scholar
  • Paiella M (2001) Limited financial market participation: A transaction cost-based explanation. Working Paper No. 0106, Institute for Fiscal Studies (IFS), London.Google Scholar
  • Paiella M (2004) Heterogeneity in financial market participation: Appraising its implications for the C-CAPM. Rev. Finance 8(3):445–480.CrossrefGoogle Scholar
  • Paiella M (2007) The forgone gains of incomplete portfolios. Rev. Financial Stud. 20(5):1623–1646.CrossrefGoogle Scholar
  • Puri M, Robinson D (2007) Optimism and economic choice. J. Financial Econom. 86(1):71–99.CrossrefGoogle Scholar
  • Rosen HS, Wu S (2004) Portfolio choice and health status. J. Financial Econom. 72(3):457–484.CrossrefGoogle Scholar
  • Viceira LM (2001) Optimal portfolio choice for long-horizon investors with nontradable labor income. J. Finance 56(2):433–470.CrossrefGoogle Scholar
  • Vissing-Jørgensen A (2002a) Limited asset market participation and the elasticity of intertemporal substitution. J. Political Econom. 110:825–853.CrossrefGoogle Scholar
  • Vissing-Jørgensen A (2002b) Toward an explanation of household portfolio choice heterogeneity: Nonfinancial income and participation cost structures. NBER Working Paper No. 8884, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Vissing-Jorgensen A (2004) Perspectives on behavioral finance: Does “irrationality” disappear with wealth? Evidence from expectations and actions. NBER Macroeconomics Annual 2003, vol. 18 (MIT Press, Cambridge, MA), 139–208.Google Scholar
  • Weil P (1990) Nonexpected utility in macroeconomics. Quart. J. Econom. 105(1):29–42.CrossrefGoogle Scholar
  • Wermers R (2000) Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. J. Finance 55(4):1655–1695.CrossrefGoogle Scholar
  • Wu Y, Wermers R, Zechner J (2016) Managerial rents vs. shareholder value in delegated portfolio management: The case of closed-end funds. Rev. Financial Stud. 29(12):3428–3470.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.