Cost and Preference Heterogeneity in Risky Financial Markets
利用家庭股票市场参与决策数据，估计参与成本和风险偏好参数，发现教育程度和过往参与是成本异质性的主要来源，且低教育者风险厌恶程度更低。
This paper estimates the magnitude of participation costs and preference parameters exploiting information on households’ participation decisions in the equities market. A structural model for portfolio choices over the life cycle is solved numerically. The parameters of interest are estimated using an Indirect Inference approach which makes use of the computed participation gains/losses. Participation costs are found to be significant, education and lagged participation being the major sources of heterogeneity. Also, the least educated are the least risk averse, and the positive effect of risk aversion on wealth accumulation dominates its negative influence on the risky asset demand. Copyright © 2013 John Wiley & Sons, Ltd.