Front Matter Page
WP/18/171
IMF Working Paper
Heterogeneity and Persistence in Returns to Wealth
By Andreas Fagereng, Luigi Guiso, Davide Malacrino and Luigi Pistaferri
INTERNATIONAL MONETARY FUND
Front Matter Page
© 2018 International Monetary Fund
WP/18/171
IMF Working Paper
Research Department
Heterogeneity and Persistence in Returns to Wealth
Authorized for distribution by Romain Duval
July 2018
I. TABLE OF CONTENTS
I. INTRODUCTION
II. DATA SOURCES AND VARIABLE DEFINITION
A. Administrative wealth and capital income records
B. Wealth aggregates and returns to wealth
C. Measuring returns to wealth
D. Some conceptual remarks
E. Descriptive statistics
III. STILIZED FACTS ABOUT RETURNS TO WEALTH
A. Returns to wealth are heterogeneous
B. Returns covary with the level of wealth
C. Robustness
IV. MODELING AND ESTIMATING RETURNS TO WEALTH
A. A statistical model of returns to wealth
B. Estimation results
C. Persistent heterogeneity
V. INTERPRETING PERSISTENT HETEROGENEITY
A. Additional evidence
VI. INTERGENERETIONAL PERSISTENCE IN RETURNS TO WEALTH
VII. DISCUSSION AND CONCLUSION
Figures
Figure 1. Heterogeneity in returns to wealth by share of risky assets
Figure 2. The correlation between financial wealth and its return
Figure 3. The Sharpe ratio and initial wealth
Figure 4. The correlation between net worth and its return
Figure 5. Explaining the relation between net worth and its return
Figure 6. The distribution of fixed effects in the return to wealth
Figure 7. The distribution of fixed effects in the return to wealth, selected characteristics
Figure 8. Deposit accounts bank and individual fixed effects
Figure 9. The intergenerational correlation in wealth and returns
Tables
Table 1. Portfolio composition, by selected fractiles
Table 2. Descriptive statistics
Table 3. Value-weighted returns
Table 4. Explaining returns to wealth: Financial wealth
Table 5. Explaining returns to wealth: Net worth
Table 6. Fixed effects statistics
Table 7. Explaining the Sharpe ratio
Table 8. Intergenerational return percentile regressions