Why do so few hold stocks : theory and evidence
Chen, En (2006) Why do so few hold stocks : theory and evidence. In Chen, S (Ed.) Proceedings of the 2006 NTU International Conference on Finance, 13-14 December 2006, People's Republic of China, Taiwan, Taipei.
This study develops a life-cycle model where investors make investment decisions in a realistic environment. Model results show that personal illiquid projects (housing and children), fixed costs (once-off/per-period participation costs plus variable/fixed transaction costs) and endogenous risky human capital (with permanent, transitory and disastrous shocks) together are able to address both the non-participation puzzle and the age-effects puzzle. Empirical implications of the model are examined using Heckman’s two-step method with the latest five Surveys of Consumer Finance (SCF). Regression results show that liquidity, informational cost and human capital are indeed the major determinants of participation and asset allocation decisions at different stages of an investor’s life.
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|Item Type:||Conference Paper|
|Keywords:||Non-Participation, Equity Puzzle|
|Subjects:||Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||18 Jun 2009 00:27|
|Last Modified:||22 Feb 2013 11:12|
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