2020
DOI: 10.3982/ecta14835
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Heterogeneity and Persistence in Returns to Wealth

Abstract: We provide a systematic analysis of the properties of individual returns to wealth using 12 years of population data from Norway's administrative tax records. We document a number of novel results. First, individuals earn markedly different average returns on their net worth (a standard deviation of 22.1%) and on its components. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within narrow asset cl… Show more

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Cited by 281 publications
(164 citation statements)
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References 89 publications
(162 reference statements)
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“…Column (7) shows that this alternative wealth return monotonically increases in wealth. The finding that returns to net worth are positively correlated with wealth is a robust feature of the data and is consistent with previous studies using non-U.S. data (e.g., Fagereng et al (2020) and Bach et al (2020)).…”
Section: A Multivariable Nonparametric Analysissupporting
confidence: 90%
See 3 more Smart Citations
“…Column (7) shows that this alternative wealth return monotonically increases in wealth. The finding that returns to net worth are positively correlated with wealth is a robust feature of the data and is consistent with previous studies using non-U.S. data (e.g., Fagereng et al (2020) and Bach et al (2020)).…”
Section: A Multivariable Nonparametric Analysissupporting
confidence: 90%
“…To estimate the yield of an asset (debt) in a specific month during the pandemic, we take a two-step procedure. In the first step, we construct the annualized yield of the asset (debt) between 2017 and 2019 for each household group, using the SCF data and the method of Fagereng et al (2020) that accounts for net investments in the asset (debt) between the two survey years. 6 In the second step, we infer the changes of the group-specific yields 5 The systematic differences between SCF and DFA portfolios are driven by the measurement differences between the SCF data and the U.S. financial account data (Batty et al (2021); Henriques and Hsu (2014)).…”
Section: Measuring Returns To Individual Wealth Componentsmentioning
confidence: 99%
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“…Sixth, Fagereng et al (2016), using Norwegian individual wealth returns over 20 years, reported econometric evidence of a positive correlation between wealth level and risk-adjusted rate of return (the Sharpe ratio) by asset type.…”
Section: Rates Of Returnmentioning
confidence: 99%