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    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Empirical Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Empirical Finance, 38, Part A, 2016 DOI: 10.1016/j.jempfin.2016.07.003

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Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation. / Paya, Ivan; Wang, Peng.
In: Journal of Empirical Finance, Vol. 38, No. Part A, 09.2016, p. 221-235.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Paya, I & Wang, P 2016, 'Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation', Journal of Empirical Finance, vol. 38, no. Part A, pp. 221-235. https://doi.org/10.1016/j.jempfin.2016.07.003

APA

Paya, I., & Wang, P. (2016). Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation. Journal of Empirical Finance, 38(Part A), 221-235. https://doi.org/10.1016/j.jempfin.2016.07.003

Vancouver

Paya I, Wang P. Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation. Journal of Empirical Finance. 2016 Sept;38(Part A):221-235. Epub 2016 Jul 7. doi: 10.1016/j.jempfin.2016.07.003

Author

Paya, Ivan ; Wang, Peng. / Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation. In: Journal of Empirical Finance. 2016 ; Vol. 38, No. Part A. pp. 221-235.

Bibtex

@article{226a1d1e344e42fab02fe4539fdb4b62,
title = "Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation",
abstract = "This paper is the first to examine whether UK households exhibit constant or time-varying relative risk aversion within a microdata panel framework. We analyse whether portfolio allocations in risky assets change in response to fluctuations in wealth. Our set of controls for background wealth is comprehensive, and include, as a novelty in this type of studies, pension wealth. The inference about the risk profile of British households depends upon the relevant measure of background wealth. We do not find support for decreasing relative risk aversion (DRRA). Constant relative risk aversion (CRRA) prevails for the case of liquid wealth, but for the broadest definitions —those including home equity and pensions— the evidence favours increasing relative risk aversion (IRRA).",
keywords = "Relative risk aversion, Portfolio choice, Panel data, Pension wealth",
author = "Ivan Paya and Peng Wang",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Empirical Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Empirical Finance, 38, Part A, 2016 DOI: 10.1016/j.jempfin.2016.07.003",
year = "2016",
month = sep,
doi = "10.1016/j.jempfin.2016.07.003",
language = "English",
volume = "38",
pages = "221--235",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier",
number = "Part A",

}

RIS

TY - JOUR

T1 - Wealth fluctuations and investment in risky assets

T2 - the UK micro evidence on households asset allocation

AU - Paya, Ivan

AU - Wang, Peng

N1 - This is the author’s version of a work that was accepted for publication in Journal of Empirical Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Empirical Finance, 38, Part A, 2016 DOI: 10.1016/j.jempfin.2016.07.003

PY - 2016/9

Y1 - 2016/9

N2 - This paper is the first to examine whether UK households exhibit constant or time-varying relative risk aversion within a microdata panel framework. We analyse whether portfolio allocations in risky assets change in response to fluctuations in wealth. Our set of controls for background wealth is comprehensive, and include, as a novelty in this type of studies, pension wealth. The inference about the risk profile of British households depends upon the relevant measure of background wealth. We do not find support for decreasing relative risk aversion (DRRA). Constant relative risk aversion (CRRA) prevails for the case of liquid wealth, but for the broadest definitions —those including home equity and pensions— the evidence favours increasing relative risk aversion (IRRA).

AB - This paper is the first to examine whether UK households exhibit constant or time-varying relative risk aversion within a microdata panel framework. We analyse whether portfolio allocations in risky assets change in response to fluctuations in wealth. Our set of controls for background wealth is comprehensive, and include, as a novelty in this type of studies, pension wealth. The inference about the risk profile of British households depends upon the relevant measure of background wealth. We do not find support for decreasing relative risk aversion (DRRA). Constant relative risk aversion (CRRA) prevails for the case of liquid wealth, but for the broadest definitions —those including home equity and pensions— the evidence favours increasing relative risk aversion (IRRA).

KW - Relative risk aversion

KW - Portfolio choice

KW - Panel data

KW - Pension wealth

U2 - 10.1016/j.jempfin.2016.07.003

DO - 10.1016/j.jempfin.2016.07.003

M3 - Journal article

VL - 38

SP - 221

EP - 235

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - Part A

ER -