期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper develops a structural model of the costs and beliefs required to rationalizehousehold direct stock ownership. In the model, households believe they can learn informationabout individual stock returns through costly research. The model providesa novel explanation for many empirical features of household portfolios. Further, themodel identifies the distributions of both household research costs and household beliefsabout the predictability of individual stock returns. Identification depends only on households’wealth and portfolio choices. Parameter estimates suggest that most householdshave modest beliefs about the benefits of individual stock research, although a minoritymust expect extraordinary returns
关键词：Household Beliefs; Research Costs; Under-Diversification; Direct Stock Ownership
