Turnover Activity in Wealth Portfolios
We examine several named subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and Sunday Times. The data support conventional wisdom of a wealth distribution with power law-distributed right tail, and they allow us to calibrate a statistical equilibrium model of wealth distribution. Such a model is not only able to account for the observed power law tail of wealth distribution, but is also consistent with the asymmetric laplacian distribution of portfolio returns that we observe in both our samples. In addition, with information on the distribution of portfolio returns that we construct from the subsets, the model provides an indicator for how often changes in the composition of the wealthiest portfolios occur â€“ an indicator we call turnover activity. Finally, we also calculate a simple mobility measure from the subsets and look at trends in equality, mobility and turnover activity.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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.:
- Levy, Moshe & Solomon, Sorin, 1997. "New evidence for the power-law distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 242(1), pages 90-94.
- Bottazzi, Giulio & Dosi, Giovanni & Lippi, Marco & Pammolli, Fabio & Riccaboni, Massimo, 2001.
"Innovation and corporate growth in the evolution of the drug industry,"
International Journal of Industrial Organization,
Elsevier, vol. 19(7), pages 1161-1187, July.
- Giulio Bottazzi & Giovanni Dosi & Marco Lippi & Fabio Pammolli & Massimo Riccaboni, 2001. "Innovation and Corporate Growth in the Evolution of the Drug Industry," LEM Papers Series 2001/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Joseph Persky, 1992. "Retrospectives: Pareto's Law," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 181-192, Spring.
- Thomas Lux, 2001. "The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the Frankfurt Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 299-315.
- Lux, T., "undated". "The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange," Discussion Paper Serie B 436, University of Bonn, Germany, revised Jul 1998.
- Fields, Gary S. & Ok, Efe A., 1996. "The Meaning and Measurement of Income Mobility," Journal of Economic Theory, Elsevier, vol. 71(2), pages 349-377, November.
- George Sheldon & Martin Maurer, 1998. "Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 134(IV), pages 685-704, December.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- Bottazzi, Giulio & Secchi, Angelo, 2003. "Why are distributions of firm growth rates tent-shaped?," Economics Letters, Elsevier, vol. 80(3), pages 415-420, September.
- Davies, James B. & Shorrocks, Anthony F., 2000. "The distribution of wealth," Handbook of Income Distribution,in: A.B. Atkinson & F. Bourguignon (ed.), Handbook of Income Distribution, edition 1, volume 1, chapter 11, pages 605-675 Elsevier.
- Giulio Bottazzi, 2004. "Subbotools User's Manual," LEM Papers Series 2004/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Shorrocks, A F, 1978. "The Measurement of Mobility," Econometrica, Econometric Society, vol. 46(5), pages 1013-1024, September. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:120. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.