File(s) under embargo

Reason: Publisher requirement

10

month(s)

15

day(s)

until file(s) become available

Household portfolio allocation, uncertainty, and risk

journal contribution
posted on 15.06.2021, 08:46 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

31/05/2021

Publication date

2021-06-04

ISSN

0927-5398

Language

en

Depositor

Dr Christopher Spencer . Deposit date: 14 June 2021