AFA2019会议论文（10）：Households and Portfolio Choice

AFA2019会议论文（10）：Households and Portfolio Choice

金融经济学 1周前

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The Portfolio-Driven Disposition Effect

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A Life-Cycle Model with Unemployment Traps

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Advertising Exposure and Portfolio Choice: Estimates Based on Sports Sponsorships

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Political Uncertainty and Household Stock Market Participation

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1、The Portfolio-Driven Disposition Effect

Joseph Engelberg，University of California, San Diego

Matthew Henriksson，University of South Florida

Jared Williams，University of South Florida

Abstract

In simple univariate tests, we find no disposition effect for a stock if the remaining portfolio is at a gain. We find a large disposition effect only when the remaining portfolio is at a loss. The portfolio-driven disposition effect we document is not explained by extreme returns, simultaneous transactions, or investor sophistication/skill. The evidence suggests investors’ utility comes from both paper gains and losses and realized gains and losses; and when their portfolio has paper losses, they compensate by realizing gains.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=21

2、A Life-Cycle Model with Unemployment Traps

Fabio C. Bagliano，Università di Torino

Carolina Fugazza，University of Torino

Giovanna Nicodano，University of Torino and Netspar

Abstract

The Great Recession highlighted that long-term unemployment may become a trap with loss of human capital. This paper extends the life-cycle model by allowing for a small risk of long-term unemployment with permanent effects on labour income. Such nonlinear income risk dampens early investment in risky assets, resulting in an optimal equity portfolio share that is relatively flat over the life cycle. This flattening in the life-cycle profile is driven by the resolution of uncertainty as the worker ages. Shifting away from a simple age rule to a flatter investment profile yields average welfare gains that are three times larger than those in models with linear labour income shocks.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=508

3、Advertising Exposure and Portfolio Choice: Estimates Based on Sports Sponsorships

Ioannis Branikas，Princeton University

Abstract

Product market advertising by raising the awareness of a company’s brand is thought to also increase the demand for a company’s stock as well as its products. I construct a dataset of publicly traded sports sponsors in the US and develop an instrument for investor exposure to advertising via these sponsorships. I show that investors living in a city where local sports teams are sponsored by a given company, local or non-local, are more likely to purchase stocks in that company. The portfolio effects from sports sponsorship are large and suggest that advertising is more important than even local bias.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=881

4、Political Uncertainty and Household Stock Market Participation

Vikas Agarwal，Georgia State University

Hadiye Aslan，Georgia State University

Lixin Huang，Georgia State University

Honglin Ren，Georgia State University

Abstract

Using a unique micro-level panel dataset, we relate households’ stock market participation to policy uncertainty. We show that households significantly reduce their equity participation during periods of high policy uncertainty, identified by gubernatorial elections. The magnitude of the participation cycles varies with risk aversion, employment risk, and cost of processing information. In certain situations, election-triggered drop in participation is followed by a partial increase in post-election years as the uncertainty over policy outcomes subsides, reflecting a real distortion. Our findings suggest that policy uncertainty is an important channel through which the political process creates a negative externality in financial markets.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1342

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