Jurnal of Finance - Asset Market Participation and Portfolio Choice over the Life-Cycle (ANDREAS FAGERENG,CHARLES GOTTLIEB,LUIGI GUISO )
ABSTRACT
Using error-free data on life-cycle portfolio
allocations of a large sample of Norwegian households, we document a double
adjustment as households age: a rebalancing of the portfolio composition away
from stocks as they approach retirement and stock market exit after retirement.
When structurally estimating an extended life-cycle model, the parameter
combination that best fits the data is one with a relatively large risk
aversion, a small per-period participation cost, and a yearly probability of a
large stock market loss in line with the frequency of stock market crashes in
Norway.
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