Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy - HEC Paris - École des hautes études commerciales de Paris Access content directly
Preprints, Working Papers, ... Year :

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.
Not file

Dates and versions

hal-02002692 , version 1 (31-01-2019)

Licence

Copyright

Identifiers

  • HAL Id : hal-02002692 , version 1

Cite

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

Share

Gmail Facebook Twitter LinkedIn More