Habit Formation and Persistence in Individual Asset Portfolio Holdings : : The Case of Italy / / Sònia Muñoz

• Autore: Muñoz Sònia
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (44 p.)
• Soggetto topico: Portfolio management - Italy - Econometric models; Asset allocation - Italy - Econometric models; Asset allocation; Asset and liability management; Asset-liability management; Bonds; Discrete Regression and Qualitative Choice Models; Discrete Regressors; Econometric analysis; Econometric models; Econometrics & economic statistics; Econometrics; Finance; Finance: General; Financial institutions; Financial Instruments; Financial markets; Financial Risk Management; General Financial Markets: General (includes Measurement and Data); Institutional Investors; International Financial Markets; Investment & securities; Investment Decisions; Investments: Bonds; Investments: Stocks; Logit models; Non-bank Financial Institutions; Pension Funds; Personal Income, Wealth, and Their Distributions; Portfolio Choice; Proportions; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Stock exchanges; Stock markets; Stocks
• Soggetto geografico: United States
• Note generali: "January 2006."
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: ""Contents""; ""I. Introduction""; ""II. Habit Formation in Household Portfolios""; ""III. The Model: Multiperiod Multinomial Probit with Autocorrelated Errors and Unobserved Heterogeneity""; ""IV. Empirical Results""; ""V. Conclusion""; ""Appendix: Data and Statistics""; ""References""
• Sommario/riassunto: This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a particularly important feature of household portfolio behavior: the infrequency of portfolio allocation changes. I find evidence of strong unobserved heterogeneity through time-varying error components, which I interpret as taste persistence in both the risky and safe asset participation decisions. I estimate the model using the method of maximum smoothly simulated likelihood.
• Titolo autorizzato: Habit Formation and Persistence in Individual Asset Portfolio Holdings
• ISBN: 1-4623-7504-9; 1-4519-9441-9; 1-283-51660-8; 9786613829054; 1-4519-0825-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910811443303321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/029