This paper estimates the magnitude of participation costs and preference parameters exploiting information on households? participation decisions in the equities market. A structural model for portfolio choices over the life cycle is solved numerically. The parameters of interest are estimated using an Indirect Inference approach which makes use of the computed participation gains/losses. Participation costs are found to be significant, education and lagged participation being the major sources of heterogeneity. Also, the least educated are the least risk averse, and the positive effect of risk aversion on wealth accumulation dominates its negative influence on the risky asset demand.