|Appears in Collections:||Economics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Equity fund ownership and the cross-regional diversification of household risk|
|Keywords:||JEL codes F36 F37 G1|
Consumption risk sharing
Regional home bias
Survey of Household Income and Wealth (SHIW)
Labor income risk
Stock market participation
|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.|
|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.|
University of Zurich
|Becker Hoffmann 2010 JBF 34(1) Equity Fund Ownership and the Cross-Regional Diversification of Household Risk.pdf||502.57 kB||Adobe PDF||Under Embargo until 31/12/2999 Request a copy|
Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependant on the depositor still being contactable at their original email address.
This item is protected by original copyright
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
If you believe that any material held in STORRE infringes copyright, please contact firstname.lastname@example.org providing details and we will remove the Work from public display in STORRE and investigate your claim.