Journal ArticleDOI
All their eggs in one basket: Portfolio diversification of US households
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This article used data from the Survey of Consumer Finances (SOCF) to assess how well mean-variance efficiency describes the portfolio diversification of US households, finding that the median stockholder owns a single publicly traded stock, often in the company where he works.Abstract:
This paper uses data from the Survey of Consumer Finances to assess how well mean-variance efficiency describes the portfolio diversification of US households. It does not seem to work well. The median stockholder owns a single publicly traded stock, often in the company where he works. Looking at a sample of high income households who accounted for one third of all publicly traded stock, the median holding is only ten stocks. Indirect stock ownership through mutual funds, defined contribution pension plans, IRA's and trust funds is shown to have little power in explaining this poor diversification.read more
Citations
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Journal ArticleDOI
Equity Portfolio Diversification
William N. Goetzmann,Alok Kumar +1 more
TL;DR: The authors found that U.S. individual investors hold under-diversified portfolios, where the level of under diversification is greater among younger, low-income, less-educated, and less-sophisticated investors.
Journal ArticleDOI
Down or Out: Assessing the Welfare Costs of Household Investment Mistakes
TL;DR: In this article, the authors investigated the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden and found that households with greater financial sophistication tend to invest more efficiently but also more aggressively, so the welfare cost of portfolio inefficiency tends to be greater for these households.
Journal ArticleDOI
Equilibrium Underdiversification and the Preference for Skewness
Todd Mitton,Keith Vorkink +1 more
TL;DR: This paper developed a one-period model of investor asset holdings where investors have heterogeneous preference for skewness and found that the portfolio returns of underdiversified investors are substantially more positively skewed than those of diversified investors.
Journal ArticleDOI
Equilibrium Underdiversification and the Preference for Skewness
Todd Mitton,Keith Vorkink +1 more
TL;DR: In this paper, a one-period model of investor asset holdings where investors have heterogeneous preference for skewness is developed, which allows the model's investors, in equilibrium, to underdiversify.
Posted Content
Fight or Flight ? Portfolio Rebalancing by Individual Investors
TL;DR: In this article, the authors investigate the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden and find evidence that households rebalance towards a higher risky share as they become richer.
References
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Journal ArticleDOI
THE EQUITY PREMIUM A Puzzle
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: This paper showed that an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.
Journal ArticleDOI
Stock Prices and Social Dynamics
TL;DR: In this paper, a model of the impact of such fashions on prices is proposed and used in an exploratory data analysis of the aggregate United States Stock Market in the 20th century.
Journal ArticleDOI
Why do so Few Hold Stocks
TL;DR: The authors investigate why 75 percent of U.S. households do not hold stocks despite the equity premium and predictions of expected-utility models and show that risk aversion per se, heterogeneity of beliefs, habit persistence, time nonseparability, and quantity constraints on borrowing do not account for the phenomenon.
Journal ArticleDOI
The consumption of stockholders and nonstockholders
TL;DR: In this article, the authors examined whether the consumption of stockholders differs from the consumption consumption of non-stockholders and whether these differences help explain the empirical failures of the consumption-based CAPM.
Posted Content
Stock Prices and Social Dynamics
TL;DR: In this paper, a model of the impact of such fashions on prices is proposed and used in an exploratory data analysis of the aggregate United States Stock Market in the 20th century.
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