دانلود مقاله ISI انگلیسی شماره 1487
عنوان فارسی مقاله

هزینه های ورود و مشارکت در بازار سهام در طول چرخه عمر

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
1487 2006 24 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Entry costs and stock market participation over the life cycle
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Review of Economic Dynamics, Volume 9, Issue 4, October 2006, Pages 588–611

کلمات کلیدی
- هزینه های ورودی - بازار سهام - برآورد ساختاری
پیش نمایش مقاله
پیش نمایش مقاله هزینه های ورود و مشارکت در بازار سهام در طول چرخه عمر

چکیده انگلیسی

Several explanations for the observed limited stock market participation have been offered in the literature. One of the most promising is the presence of market frictions mostly in the form of fixed entry and/or transaction costs. Empirical studies point to a significant structural (state) dependence in the stock market entry decision, which is consistent with costs of this type. However, the magnitude of these costs is not yet known. This paper focuses on fixed stock market entry costs. I set up a structural estimation procedure which involves solving and simulating a life cycle intertemporal portfolio choice model augmented with a fixed stock market entry cost. Important features of household portfolio data (from the PSID) are matched to their simulated counterparts. Utilizing a Simulated Minimum Distance estimator, I estimate the coefficient of relative risk aversion, the discount factor and the stock market entry cost. Given the equity premium and the calibrated income process, I estimate a one-time entry cost of approximately two percent of the permanent component of the annual labor income. My estimated model matches the zero median holding as well as the hump-shaped age–participation profile observed in the data.

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