Ownership of Stocks and Mutual Funds: A Panel Data Analysis

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 heter...

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Bibliographic Details
Published in:The review of economics and statistics 2004-08, Vol.86 (3), p.783-796
Main Authors: Alessie, Rob, Hochguertel, Stefan, van Soest, Arthur
Format: Article
Language:English
Subjects:
Economic models
Economic theory
Financial assets
Financial portfolios
Income taxes
Investments
Mutual funds
Ownership
Risk aversion
Securities analysis
Stock ownership
Stock shares
Stock transactions
Studies
Transaction costs
Wealth
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Summary: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 statedependence 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.
ISSN:0034-6535
1530-9142
DOI:10.1162/0034653041811761