Asset market participation and portfolio choice over the life-cycle
Title: Asset market participation and portfolio choice over the life-cycle
Citation: The journal of finance, 2017, Vol. 72, No. 2, pp. 705–750
ISSN: 0022-1082; 1540-6261
Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway.
First published online: 21 March 2017
Type of Access: embargoedAccess
Initial version: http://hdl.handle.net/1814/28597
Version: Published version of EUI ECO WP 2013/07
Files in this item
- Embargoed until 2021, Post-print ...