Loughborough University
Browse
Brown et al. (2021) - Journal of Empirical Finance - Accepted version.pdf (607.85 kB)

Household portfolio allocation, uncertainty, and risk

Download (607.85 kB)
journal contribution
posted on 2021-06-15, 08:46 authored by Sarah Brown, Daniel Gray, Mark Harris, Christopher SpencerChristopher Spencer
Analysing the Panel Study of Income Dynamics and the Health and Retirement Study, we investigate the extent to which US households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a deflated ordered fractional model – quantifies how the overall composition of a household portfolio with three asset classes adjusts with background risk, and is unique in recovering for any given risky asset class the shares that are reallocated to each safer asset category. Background risk exerts a significant impact on household portfolios, inducing a ‘flight from risk’ from riskier to safer assets.

Funding

Australian Research Council (ARC)

History

School

  • Business and Economics

Department

  • Economics

Published in

Journal of Empirical Finance

Volume

63

Pages

96-117

Publisher

Elsevier

Version

  • AM (Accepted Manuscript)

Rights holder

© Elsevier

Publisher statement

This paper was accepted for publication in the journal Journal of Empirical Finance and the definitive published version is available at https://doi.org/10.1016/j.jempfin.2021.05.004

Acceptance date

2021-05-31

Publication date

2021-06-04

ISSN

0927-5398

Language

  • en

Depositor

Dr Christopher Spencer . Deposit date: 14 June 2021

Usage metrics

    Loughborough Publications

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC