Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy. Bach, L., Calvet, L. E., & Sodini, P. .
Paper abstract bibtex 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 disper- sion 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.
@unpublished{bachRichPickingsRisk2015,
title = {Rich {{Pickings}}? {{Risk}}, {{Return}}, and {{Skill}} in the {{Portfolios}} of the {{Wealthy}}},
author = {Bach, Laurent and Calvet, Laurent E. and Sodini, Paolo},
date = {2015},
journaltitle = {Swedish House Finance Research Paper},
url = {http://dx.doi.org/10.2139/ssrn.2706207},
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 disper- sion 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.},
pagetotal = {1–65},
file = {C\:\\Users\\lukis\\AppData\\Roaming\\Zotero\\Zotero\\Profiles\\h20ej2eu.default\\zotero\\storage\\US9EL6MB\\Bach et al_2015_Rich Pickings.pdf}
}
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