Ownership of Stocks and Mutual Funds: A Panel Data Analysis
利用荷兰家庭面板数据，通过二元动态离散选择模型分析股票与共同基金持有的相互影响，发现未观测异质性和状态依赖是关键因素。
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 state-dependence 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.