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Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy

Abstract : We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth increases with net worth, exceeding the risk-free rate by 9% for households in the top 0.01%. The expected wealth return is driven by systematic risk-taking and exhibits strong persistence. Idiosyncratic risk is transitory but sufficiently large among business owners to generate substantial long-term dispersion in returns in top brackets. We estimate the distribution of the geometric average return on gross wealth over a generation. Heterogeneity in returns explains most of the historical increase in top wealth shares.
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https://hal-hec.archives-ouvertes.fr/hal-02002692
Contributor : Antoine Haldemann <>
Submitted on : Thursday, January 31, 2019 - 7:07:21 PM
Last modification on : Tuesday, March 17, 2020 - 1:39:11 AM

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  • HAL Id : hal-02002692, version 1

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Laurent Bach, Laurent Calvet, Paolo Sodini. Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy. 2015. ⟨hal-02002692⟩

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