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Journal of Financial Econometrics Advance Access published online on November 5, 2009
Journal of Financial Econometrics, doi:10.1093/jjfinec/nbp022
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© The Author 2009. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org.

A Cohort Analysis of Equity Shares in Japanese Household Financial Assets

Kosei Fukuda
     Nihon University

Address correspondence to Kosei Fukuda, College of Economics, Nihon University, 1-3-2, Misakicho, Chiyoda-ku, Tokyo 101-8360, Japan, or e-mail: kosefuku{at}crocus.ocn.ne.jp.

JEL Classification: C51, G11


  Abstract

Aggregate data on equity shares in Japanese household financial assets, classified by period and age, are decomposed into age, period, and cohort effects by using two different identification methods: one assumes that each effect fluctuates smoothly and the other assumes that the period effect is orthogonal to a linear time trend. Both methods provide a very similar and striking empirical finding. The main factor in the life-cycle movement of equity shares is not the age effect but the cohort effect. Comprehensive robustness checks support this finding.

KEYWORDS: age-period-cohort decomposition, financial risk taking, identification problem

I am grateful to the editor René Garcia, the associate editor, and two referees for their very useful comments and suggestions. In particular, a roadmap for revising this manuscript, provided by the associate editor, is greatly acknowledged. Needless to say, any remaining errors are mine. A working-paper version of the paper is provided in the Web site (http://www.econ.fukuoka-u.ac.jp/researchcenter/paper24/3–1_Fukuda.pdf).

Received March 7, 2008; revised September 21, 2009; accepted September 22, 2009


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