Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds

Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds

Mariassunta Giannetti, Luc Laeven

Series number :

Serial Number: 
335/2012

Date posted :

August 01 2012

Last revised :

October 29 2018
SSRN Suggested citation Download this paper Open PDF Share

Keywords

We exploit the domestic portfolios of US mutual funds to provide microeconomic evidence that investors are more likely to liquidate geographically remote investments at times of high aggregate market volatility. This has important implications for asset prices. The valuations of stocks with ex ante less local ownership decline more when aggregate market volatility is high.

Furthermore, the returns of stocks with geographically distant owners are more exposed to changes in aggregate market volatility.

 

 

Published in

Published in: 
Description: 
CEPR Discussion Paper No. DP8969 | Review of Finance

Authors

Real name: 
Research Member
Research European Central Bank