The Costs and Beliefs Implied by Direct Stock Ownership
构建并估计了一个经济模型，用研究成本和信念来解释家庭为何直接持股，发现多数家庭对个股研究收益预期不高，但少数人预期极高。
This paper develops and estimates an economic model of the costs and beliefs required to rationalize household direct stock ownership. In the model, investors believe they can learn information about individual stock returns through costly research. The model identifies the distributions of both research costs and beliefs about the predictability of individual stock returns. Identification depends only on households’ wealth and portfolio choices. The model also provides a novel explanation for many empirical features of household portfolios. Parameter estimates suggest that most households have modest beliefs about the benefits of individual stock research, although a minority must expect extraordinary returns. Data are available at https://doi.org/10.1287/mnsc.2017.2791 . This paper was accepted by Neng Wang, finance.