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Ownership of Stocks and Mutual Funds: A Panel Data Analysis

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Author Info
Rob Alessie (Utrecht University)
Stefan Hochguertel (Free University Amsterdam)
Arthur van Soest (RAND Corporation Tilburg University)

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Abstract

This paper analyzes the ownership dynamics of stocks and mutual funds, using representative household panel data, the Dutch CentER Savings Survey 1993-1998. A bivariate dynamic binary-choice model is introduced, allowing for interactions between the two types of assets. We find that unobserved heterogeneity and state dependence play a large role for both types of assets. The positive relation between ownership of one type in one period and the other type in the next period is explained by correlated unobserved heterogeneity. A negative state-dependence effect of lagged ownership of stocks on ownership of mutual funds is found, which can be explained by the costs of shifting funds across the two forms of stockholding. Copyright (c) 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

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File URL: http://www.mitpressjournals.org/doi/pdfplus/10.1162/0034653041811761
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Publisher Info
Article provided by MIT Press in its journal Review of Economics and Statistics.

Volume (Year): 86 (2004)
Issue (Month): 3 (05)
Pages: 783-796
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Handle: RePEc:tpr:restat:v:86:y:2004:i:3:p:783-796

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  4. Luigi Guiso & Tullio Jappelli, 2000. "Household Portfolios in Italy," CSEF Working Papers 43, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
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  5. Richard Blundell & Steve Bond & Frank Windmeijer, 2000. "Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator," IFS Working Papers W00/12, Institute for Fiscal Studies. [Downloadable!]
  6. Alessie, R. & Hochguertel, S. & Soest, A. van, 2000. "Household portfolios in the Netherlands," Discussion Paper 55, Tilburg University, Center for Economic Research. [Downloadable!]
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  8. Agell, Jonas & Edin, Per-Anders, 1990. " Marginal Taxes and the Asset Portfolios of Swedish Households," Scandinavian Journal of Economics, Blackwell Publishing, vol. 92(1), pages 47-64.
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  11. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441 Elsevier. [Downloadable!] (restricted)
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  12. Hausman, Jerry A. & Taylor, William E., 1981. "Panel data and unobservable individual effects," Journal of Econometrics, Elsevier, vol. 16(1), pages 155-155, May. [Downloadable!] (restricted)
  13. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Wang-Sheng Lee & Umut Oguzoglu, 2007. "Well-Being and Ill-Being: A Bivariate Panel Data Analysis," IZA Discussion Papers 3108, Institute for the Study of Labor (IZA). [Downloadable!]
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  2. Dimitris Christelis & Dimitris Georgarakos & Michael Haliassos, 2009. "Stockholding: From Participation to Location and to Participation Spillovers," CFS Working Paper Series 2009/02, Center for Financial Studies. [Downloadable!]
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  3. Michaud, Pierre-Carl & Tatsiramos, Konstantinos, 2008. "Fertility and Female Employment Dynamics in Europe: The Effect of Using Alternative Econometric Modeling Assumptions," IZA Discussion Papers 3853, Institute for the Study of Labor (IZA). [Downloadable!]
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  4. Axel Heitmueller & Pierre-Carl Michaud, 2006. "Informal Care and Employment in England: Evidence from the British Household Panel Survey," IZA Discussion Papers 2010, Institute for the Study of Labor (IZA). [Downloadable!]
  5. Martin Browning & Jesus M. Carro, 2009. "Dynamic binary outcome models with maximal heterogeneity," Economics Series Working Papers 426, University of Oxford, Department of Economics. [Downloadable!]
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  6. Sonia Bhalotra & Arthur van Soest, 2004. "Birth Spacing and Neonatal Mortality in India: Dynamics, Frailty and Fecundity," Bristol Economics Discussion Papers 04/567, Department of Economics, University of Bristol, UK. [Downloadable!]
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  7. Arulampalam, Wiji & Stewart, Mark B., 2008. "Simplified Implementation of the Heckman Estimator of the Dynamic Probit Model and a Comparison with Alternative Estimators," The Warwick Economics Research Paper Series (TWERPS) 884, University of Warwick, Department of Economics. [Downloadable!]
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  8. Luc Arrondel & Stefan Lollivier, 2004. "Transaction costs, Income Risk and Household Portfolio Allocation: Evidence from French Panel Data," DELTA Working Papers 2004-19, DELTA (Ecole normale supérieure). [Downloadable!]
  9. Christiansen, Charlotte & Joensen, Juanna Schröter & Rangvid, Jesper, 2005. "Do More Economists Hold Stocks?," Finance Research Group Working Papers F-2005-02, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  10. Francesco Devicienti & Ambra Poggi, 2007. "Poverty and social exclusion: two sides of the same coin or dynamically interrelated processes?," LABORatorio R. Revelli Working Papers Series 62, LABORatorio R. Revelli, Centre for Employment Studies. [Downloadable!]
  11. Peter Haan & Michal Myck, 2009. "Dynamics of Poor Health and Non-Employment," SOEPpapers 195, DIW Berlin, The German Socio-Economic Panel (SOEP). [Downloadable!]
  12. Sònia Muñoz, 2006. "Habit Formation and Persistence in Individual Asset Portfolio Holdings: The Case of Italy," IMF Working Papers 06/29, International Monetary Fund. [Downloadable!]
  13. Sonia Bhalotra & Arthur van Soest, 2006. "Birth Spacing, Fertility and Neonatal Mortality in India: Dynamics, Frailty and Fecundity," IZA Discussion Papers 2163, Institute for the Study of Labor (IZA). [Downloadable!]
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  14. Stewart, Mark, 2006. "The Inter-related Dynamics of Unemployment and Low-Wage Employment," The Warwick Economics Research Paper Series (TWERPS) 741, University of Warwick, Department of Economics. [Downloadable!]
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  15. Dimitrios Christelis & Dimitris Georgarakos, 2008. "Investing at Home and Abroad: Different Costs, Different People?," CSEF Working Papers 188, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
  16. Umut Oguzoglu, 2007. "Dynamics of Work Limitation and Work in Australia," IZA Discussion Papers 2867, Institute for the Study of Labor (IZA). [Downloadable!]
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  17. Sònia Muñoz, 2006. "Wealth Effects in Europe: A Tale of Two Countries (Italy and the United Kingdom)," IMF Working Papers 06/30, International Monetary Fund. [Downloadable!]
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