Data and Code for: 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 V5
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| AER Code Package May 2020 | 05/06/2020 09:15:AM |
Project Citation:
Bach, Laurent, Calvet, Laurent, and Sodini, Paolo. Data and Code for: 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], 2020-05-06. https://doi.org/10.3886/E117466V5
Project Description
Summary:
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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:
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Household finance;
Inequality;
Risk-taking;
Factor-based investing;
Leverage;
Real estate;
Private equity;
Cost of debt
JEL Classification:
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D14 Household Saving; Personal Finance
D31 Personal Income, Wealth, and Their Distributions
G11 Portfolio Choice; Investment Decisions
D14 Household Saving; Personal Finance
D31 Personal Income, Wealth, and Their Distributions
G11 Portfolio Choice; Investment Decisions
Geographic Coverage:
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Sweden
Time Period(s):
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2000 – 2007
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