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Rich Pickings? Risk, Return, and Skill in Household Wealth

Principal Investigator(s):  View help for Principal Investigator(s) Laurent Bach, ESSEC Business School; Laurent Calvet, EDHEC Business School; Paolo Sodini, Stockholm School of Economics

Version:  View help for Version V2

Name File Type Size Last Modified
  ADO 01/31/2020 06:06:PM
  DATA 01/31/2020 06:06:PM
  DO 01/31/2020 06:07:PM
DATASETS.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 14.1 KB 01/31/2020 01:06:PM
MASTERFILE.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 4.2 MB 01/31/2020 01:06:PM
README.pdf application/pdf 538.2 KB 01/31/2020 01:26:PM

Project Citation: 

Bach, Laurent, Calvet, Laurent, and Sodini, Paolo. Rich Pickings? Risk, Return, and Skill in Household Wealth. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-01-31. https://doi.org/10.3886/E117466V2

Project Description

Summary:  View help for Summary We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01%. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares.


Scope of Project

Subject Terms:  View help for Subject Terms Household finance; Inequality; Risk-taking; Factor-based investing; Leverage; Real estate; Private equity; Cost of debt
JEL Classification:  View help for JEL Classification
      D14 Household Saving; Personal Finance
      D31 Personal Income, Wealth, and Their Distributions
      G11 Portfolio Choice; Investment Decisions


Related Publications

This study is un-published. See below for other available versions.

Published Versions

V5 [2020-05-06]

V4 [2020-05-06]

V3 [2020-03-10]

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