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Sodini, Paolo 1968-

Overview
Works: 18 works in 91 publications in 3 languages and 329 library holdings
Roles: Author, Redactor
Classifications: HB1, 330.072
Publication Timeline
Key
Publications about Paolo Sodini
Publications by Paolo Sodini
Most widely held works by Paolo Sodini
Financial innovation, market participation and asset prices by Laurent E Calvet( Book )
17 editions published between 2001 and 2003 in English and held by 49 libraries worldwide
This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants' consumption and thus leads to lower risk premia. In multisector economies, financial innovation spreads across markets through the diversified portfolio of new entrants, and has rich effects on the cross-section of expected returns. The price changes can also lead some investors to leave the markets and give rise to non-degenerate forms of participation turnover. The model is consistent with several features of financial markets over the past few decades: substantial innovation; higher participation; significant turnover in investor composition; improved risk management practices; a slight increase in interest rates; and a reduction in risk premia
Down or out : assessing the welfare costs of household investment mistakes by Laurent E Calvet( Book )
20 editions published in 2006 in English and held by 36 libraries worldwide
This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky assets ("down") and nonparticipation in risky asset markets ("out"). We find that while a few households are very poorly diversified, the cost of diversification mistakes is quite modest for most of the population. For instance, a majority of participating Swedish households are sufficiently diversified internationally to outperform the Sharpe ratio of their domestic stock market. We document that households with greater financial sophistication tend to invest more efficiently but also more aggressively, so the welfare cost of portfolio inefficiency tends to be greater for these households. The welfare cost of nonparticipation is smaller by almost one half when we take account of the fact that nonparticipants would be unlikely to invest efficiently if they participated in risky asset markets
Fight or flight? : portfolio rebalancing by individual investors by Laurent E Calvet( Book )
9 editions published in 2008 in English and held by 16 libraries worldwide
This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly, and by adjusting both fund purchases and full sales of stocks if their risky portfolios have performed well. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks
Measuring the financial sophistication of households by Laurent E Calvet( Book )
8 editions published in 2009 in English and held by 12 libraries worldwide
This paper constructs an index of financial sophistication that, in comprehensive data on Swedish households, best explains a set of three investment mistakes: underdiversification, risky share inertia, and the tendency to sell winning stocks and hold losing stocks (the disposition effect). The index of financial sophistication increases strongly with financial wealth and household size, and to a lesser extent with education and proxies for financial experience. The index is strongly positively correlated with the share of risky assets held by a household
Twin picks : disentangling the determinants of risk-taking in household portfolios by Laurent E Calvet( Book )
12 editions published between 2010 and 2013 in English and held by 11 libraries worldwide
This paper investigates the determinants of financial risk-taking in a panel containing the asset holdings of Swedish twins. We measure the impact of a broad set of demographic, financial, and portfolio characteristics, and use yearly twin pair fixed effects to control for genes and shared background. We report a strong positive relation between risky asset market participation and financial wealth. Among participants, the average financial wealth elasticity of the risky share is significantly positive and estimated at 22%, which suggests that the average individual investor has decreasing relative risk aversion. Furthermore, the financial wealth elasticity of the risky share itself is heterogeneous across investors and varies strongly with characteristics. The elasticity decreases with financial wealth and human capital, and increases with habit, real estate wealth and household size. As a consequence, the elasticity of the aggregate demand for risky assets to exogenous wealth shocks is close to, but does not coincide with, the elasticity of a representative investor with constant relative risk aversion. We confirm the robustness of our results by running time-differenced instrumental variable regressions, and by controlling for zygosity, lifestyle, mental and physical health, the intensity of communication between twins, and measures of social interactions
Household finance : an emerging field by Luigi Guiso( Book )
5 editions published in 2012 in English and held by 8 libraries worldwide
Household finance - the normative and positive study of how households use financial markets to achieve their objectives - has gained a lot of attention over the past decade and has become a field with its own identity, style and agenda. In this paper we review its evolution and most recent developments
Down or out assessing the welfare costs of household investment mistakes ( file )
2 editions published in 2006 in English and held by 2 libraries worldwide
Financial innovation, market participation and asset prices ( Computer File )
2 editions published in 2001 in English and held by 2 libraries worldwide
This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation. Investors receive heterogeneous random incomes determined by a finite number of macroeconomic factors. They can freely borrow and lend, but must pay a fixed entry cost to invest in risky assets. Security prices and the participation structure are jointly determined in equilibrium. The model reconciles a number of features that have characterized financial markets in the past three decades: substantial financial innovation; a sharp increase in investor participation; improved risk management practices; an increase in interest rates; and a reduction in the risk premium. -- Endogenous Participation ; Epstein-Zin Utility ; Financial Innovation ; Incomplete Markets ; Multiple Risk Factors ; Risk Premium ; Spanning
Who are the value and growth investors? by Sebastien Betermier( file )
2 editions published in 2014 in French and English and held by 2 libraries worldwide
This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household's portfolio tilt and the household's financial and demographic characteristics. Value investors have higher financial and real estate wealth, lower leverage, lower income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively migrate to value stocks over the life-cycle and, at higher frequencies, dynamically offset the passive variations in the value tilt induced by market movements. We verify that these results are not driven by cohort effects, financial sophistication, biases toward popular or professionally close stocks, or unobserved heterogeneity in preferences. We relate these household-level results to some of the leading explanations of the value premium
Twin picks disentangling the determinants of risk-taking in household portfolios by Laurent E Calvet( file )
1 edition published in 2013 in English and held by 1 library worldwide
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also drives risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our micro findings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models
Identifying the benefits from home ownership : a Swedish experiment by Paolo Sodini( Book )
4 editions published in 2016 in English and held by 1 library worldwide
This paper studies the economic benefits of home ownership. Exploiting a quasi-experiment surrounding privatization decisions of municipally-owned apartment buildings, we obtain random variation in home ownership for otherwise similar buildings with similar tenants. We link the tenants to their tax records to obtain information on demographics, income, mobility patterns, housing wealth, financial wealth, and debt. These data allow us to construct high-quality measures of consumption expenditures. Home ownership causes households to move up the housing ladder, work harder, and save more. Consumption increases out of housing wealth are concentrated among the home owners who sell subsequent to privatization and among those who receive negative income shocks, evidencing a collateral effect
Tell me which perfume you wear, I'll tell you how old you are : modeling the impact of consumer age on product choice by Raphaëlle Lambert-Pandraud( Book )
1 edition published in 2006 in English and held by 1 library worldwide
Le teorie economico-aziendali di Gino Zappa : tesi di laurea by Paolo Sodini( Book )
1 edition published in 1963 in Italian and held by 1 library worldwide
Rich pickings? : risk, return, and skill in the portfolios of the wealthy by Laurent Bach( Book )
2 editions published in 2016 in English and held by 1 library worldwide
This paper investigates the risk and return characteristics of household wealth. The analysis is based on a high-quality administrative panel that reports the financial assets, real estate, private equity, and debt of Swedish residents. We show that the mean return on gross wealth strongly increases with net worth, primarily because wealthy households bear high systematic risk. By contrast, the mean return on net wealth is U-shaped in net worth because the middle class hold levered positions in real estate. Moreover, wealthy households bear high idiosyncratic risk but do not seem to earn abnormally high returns. Finally, we show that returns on wealth largely explain the inequality dynamics at the top
Essays in capital markets by Paolo Sodini( Archival Material )
1 edition published in 2001 in English and held by 1 library worldwide
(Cont.) The results are compared with the first best rule in which margin requirements are chosen just to prevent default. In the third chapter, we consider a framework with mean-variance investors that face margin and no short-selling constraints and can default on their pre-existing leveraged positions. Margin calls and portfolio rebalancing create spillover-contagion effects across markets. A negative shock in one specific asset can reduce prices of even uncorrelated assets with unchanged fundamentals. We test this result across different forms of margin contracts typically used in practice. Margin constraints can also generate a self-reinforcing mechanism that amplifies price movements and create discontinuity in the price schedule
Rich pickings? risk, return, and skill in the portfolios of the wealthy by Laurent Bach( file )
1 edition published in 2015 in English and held by 1 library worldwide
Who are the value and growth investors? : [Version April 2014] by Sebastien Betermier( file )
1 edition published in 2014 in English and held by 0 libraries worldwide
This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household's portfolio tilt and the household's financial and demographic characteristics. Value investors have higher financial and real estate wealth, lower leverage, lower income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively migrate to value stocks over the life-cycle and, at higher frequencies, dynamically offset the passive variations in the value tilt induced by market movements. We verify that these results are not driven by cohort effects, financial sophistication, biases toward popular or professionally close stocks, or unobserved heterogeneity in preferences. We relate these household-level results to some of the leading explanations of the value premium
Identifying the benefits of home ownership : a Swedish experiment by Paolo Sodini( file )
2 editions published in 2016 in English and held by 0 libraries worldwide
This paper studies the economic benefits of home ownership. Exploiting a quasi-experiment surrounding privatization decisions of municipally-owned apartment buildings, we obtain random variation in home ownership for otherwise similar buildings with similar tenants. We link the tenants to their tax records to obtain information on demographics, income, mobility patterns, housing wealth, financial wealth, and debt. These data allow us to construct high-quality measures of consumption expenditures. Home ownership causes households to move up the housing ladder, work harder, and save more. Consumption increases out of housing wealth are concentrated among the home owners who sell subsequent to privatization and among those who receive negative income shocks, evidencing a collateral effect
 
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Alternative Names
Sodoni, Paolo 1968-
Languages
English (89)
Italian (1)
French (1)
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