Return Heterogeneity in Retirement Accounts
We study the performance of IRA pension plans from 2004 through 2018. We document novel evidence of large return heterogeneity across income groups in the US, and provide estimates of its impact on...
View ArticleAsset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important...
View ArticleReaching for Yield: Evidence from Households
The existing literature has documented “reaching for yield”—the phenomenon of investing more in risky assets when interest rates are lower—among institutional investors. Using detailed transaction data...
View ArticleThe Cross-Section of Household Preferences
This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find heterogeneous risk aversion...
View ArticleBorrow Now, Pay Even Later: A Quantitative Analysis of Student Debt Payment...
In the United States, student debt currently represents the second largest component of consumer debt, just after mortgage loans. Repayment of those loans reduces disposable income early in their life...
View ArticleOn Optimal Allocations of Target-Date Funds
We study optimal life-cycle portfolio allocation and its application to target-date fund (TDF) design. We show that optimal TDF allocation must be explicitly linked to a savings rate; for example, a...
View ArticleThe Cross-Section of Household Preferences
This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find heterogeneous risk aversion...
View ArticleThe Cross-Section of Household Preferences
This paper estimates the cross-sectional distribution of Epstein-Zin preference parameters in a large administrative panel of Swedish households. We consider a life-cycle model of saving and portfolio...
View ArticleStock Market Participation and Portfolio Shares Over the Life-Cycle
We estimate the life-cycle profile of stock market participation and risky portfolio share. We avoid standard identification restrictions by estimating in first differences. This approach is also more...
View ArticlePortfolio Choice Over the Life Cycle: A Survey
Life-cycle portfolio choice models capture the role of human capital, housing, borrowing constraints, background risk, and several other crucial ingredients for determining the savings and investment...
View ArticleCrowded Ratings: Clientele Effects in the Corporate Bond Market
Consistent with a simple model of market segmentation, we document rating-based clientele effects in the corporate bond market. Supply shocks arising from idiosyncratic firm upgrades and downgrades...
View ArticleHousehold Finance
Household financial decisions are complex, interdependent, and heterogeneous, and central to the functioning of the financial system. We present an overview of the rapidly expanding literature on...
View ArticleHousehold Finance
Household financial decisions are complex, interdependent, and heterogeneous, and central to the functioning of the financial system. We present an overview of the rapidly expanding literature on...
View ArticleEvidence on Expectations of Household Finances
We use a long panel with information on expected and realized changes in household finances to study the process of expectation formation and expectation errors, controlling for individual fixed...
View ArticleRetirement Savings Adequacy in U.S. Defined Contribution Plans
We evaluate retirement savings adequacy using a large panel of U.S. workers with a 401(k) account. We model medical expenditures, longevity, investment risk, and the likelihood of withdrawals due to...
View ArticleDo Robots Increase Wealth Dispersion?
We document significant negative effects of exposure to increased automation at work on household wealth accumulation. Beyond the income and savings channels, we uncover a novel mechanism contributing...
View ArticleTactical Target Date Funds
We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified...
View ArticleTactical Target Date Funds
We show that saving for retirement in target date funds (TDFs) modified to take advantage of predictability in excess returns driven by the variance risk premium generates economically large welfare...
View ArticleRisk and Returns to Education Over Time
We model education as an investment in human capital that, like other investments, is appropriately evaluated in a framework that accounts for risk as well as return. In contrast to dominant...
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