當地所有權，金融危機和資産價格：來自美國共同基金的證據

作者：Mariassunta Giannetti , Luc Laeven

摘要：我們通過對美國共同基金持有的國内資産組合進行研究，提供了投資者在市場總體波動較大時傾向于選擇地理位置更遙遠的投資組合進行平倉這一微觀證據。這對于資産定價有重要的啟示。當市場總體波動比較大時，那些事前有着較低當地所有權的公司價值更易下跌。此外，若股票的持有者地理距離更遙遠，其更易暴露于市場總體波動的變化中。

關鍵詞：當地偏見，共同基金，市場層面，不确定性

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

Mariassunta Giannetti , Luc Laeven

Abstract: 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.

Keywords: Local Bias, Mutual Funds, Market-wide, Uncertainty

原文鍊接：http://rof.oxfordjournals.org/content/20/3/947.abstract

翻譯：金明