Stock market participation, portfolio choice and pensions over the life-cycle
AbstractIn this paper we present a calibrated life-cycle model which is able to simultaneously match asset allocations and stock market participation profiles over the life-cycle. The inclusion of per period fixed costs and a public pension scheme eradicates the need to assume heterogeneity in preferences, or implausible parameter values, in order to explain observed patterns. We find a per period fixed cost of less than two percent of the permanent component of annual labour income can explain the limited stock market participation. More generous public pensions are seen to crowd out private savings and significantly reduce the estimates of these fixed costs. This is the first time that concurrent matching of participation and shares has been achieved within the standard preference framework.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0707.
Date of creation: Mar 2007
Date of revision:
Contact details of provider:
Web page: http://www.econ.cam.ac.uk/index.htm
precautionary saving; portfolio choice; stock market participation and uninsurable labour income risk;
Other versions of this item:
- Steffan G. Ball, 2009. "Stock market participation, portfolio choice and pensions over the life-cycle," Finance and Economics Discussion Series 2008-64, Board of Governors of the Federal Reserve System (U.S.).
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- H31 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Household
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-10 (All new papers)
- NEP-DGE-2007-03-10 (Dynamic General Equilibrium)
- NEP-PUB-2007-03-10 (Public Finance)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Roine Vestman, 2013. "Limited Stock Market Participation Among Renters and Home Owners," 2013 Meeting Papers 549, Society for Economic Dynamics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Howard Cobb).
If references are entirely missing, you can add them using this form.