Portfolio Selection by Households: An Empirical Analysis Using Dynamic Panel Data Models
Portfolio Selection by Households: An Empirical Analysis Using Dynamic Panel Data Models
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家庭投资组合选择：使用动态面板数据模型的实证分析
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
S. Fujiwara
中科院分区：
文献类型：
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作者：
Y. Ito;Yasutaka Takizuka;S. Fujiwara
本文基于动态面板数据模型，利用日本和美国的家庭调查数据，研究了影响家庭投资组合选择的机制。研究结果表明，正如经典投资组合理论所指出的那样，风险资产的超额收益预期值、市场波动性和相对风险厌恶程度是影响日本和美国家庭投资组合选择的重要因素。此外，金融知识等进入成本具有不可或缺的作用，以及家庭的各种限制，包括流动性和预防性储蓄动机。接下来，我们考察日本和美国家庭在投资组合选择上的差异，探讨日本家庭谨慎投资的原因。结果表明，这种差异部分是由于市场风险和回报之间的关系存在差异，沿着对未来的担忧，但金融知识和结构因素也是重要的决定因素。这表明，制度方面的进一步改善和金融知识的提高，以及市场表现的改善和对未来担忧的缓解，是日本投资环境更具吸引力的重要因素。
This paper investigates the mechanisms that influence household portfolio selection using Japanese and US household survey data, based on dynamic panel data models. The results show that as the classical portfolio theory indicates, the expected value of excess return on risky assets, market volatility, and relative risk aversion are important factors in household portfolio selection, for both Japanese and US households. Moreover, entry costs such as financial literacy have an indispensable effect, as well as households' various constraints, including liquidity and precautionary saving motives. Next, we examine the difference in household portfolio selection between Japan and the USA to explore the reasons why Japanese households have a cautious investment stance. The results indicate that the difference is partly explained by the differences in the relationships between risks and return in the market along with concerns about the future, but financial literacy and structural factors are also important determinants. This suggests that further improvements in institutional aspects and an increase in financial knowledge, as well as an improvement in market performance and the mitigation of future concerns, are important factors in making investment environments in Japan more attractive.