We develop a life-cycle model with optimal consumption, portfolio choice, and flexible work hours for households with loss-framing preferences giving them disutility if they experience losses from stock investments. Structural estimation using U.S. data shows that the model tracks the empirical age-pattern of stock market participants’ financial wealth, stock shares, and work hours remarkably well. Including stock market participation costs in the model allows us to also predict low stock market participations rates observed in the overall population. Allowing for heterogeneous agents further improves explanatory power and accounts for the observed discrepancy in wealth accumulation between stockholders and non-stockholders.