Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/1847

Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Equity fund ownership and the cross-regional diversification of household risk
Authors: Becker, Sascha
Hoffmann, Mathias
Contact Email: so.b@gmx.net
Keywords: JEL codes F36 F37 G1
Consumption risk sharing
Regional home bias
Survey of Household Income and Wealth (SHIW)
Labor income risk
Portfolio choice
Stock market participation
Issue Date: Jan-2010
Publisher: Elsevier
Citation: Becker S & Hoffmann M (2010) Equity fund ownership and the cross-regional diversification of household risk, Journal of Banking and Finance, 34 (1), pp. 90-102.
Abstract: We explore the link between portfolio home bias and consumption risk sharing among Italian regions using household-level information on consumption, income and portfolio holdings. Since equity funds are typically diversified at the national or international level, we use data on equity fund ownership to proxy for regional home bias. Cross-regional patterns of equity fund ownership are qualitatively consistent with simple portfolio theory: regions with more asymmetric business cycles are more diversified because they have higher fund participation rates (the extensive margin of diversification) and higher average holdings of equity funds (diversification’s intensive margin). Also, fund holdings increase with the exposure of non-tradable income components (such as labor or entrepreneurial income) to regional shocks. Finally, interregional consumption risk sharing increases with fund holdings and this effect seems strongest when participation is widespread. Increased equity market participation could substantially improve interregional risk sharing.
Type: Journal Article
URI: http://hdl.handle.net/1893/1847
DOI Link: http://dx.doi.org/10.1016/j.jbankfin.2009.07.005
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author; you can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Economics
University of Zurich

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