Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland

Link:
Autor/in:
Erscheinungsjahr:
2009
Medientyp:
Text
Schlagworte:
  • Bubble
  • Predictability
  • Dividend growth
  • Models
  • Risks
  • Finance
  • Stock return predictability
  • Asset allocation
  • Business cycle
  • Vector error correction
  • Investor heterogeneity
  • Bubble
  • Predictability
  • Dividend growth
  • Models
  • Risks
  • Finance
Beschreibung:
  • We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we estimate the relationship between equity and bond holdings and common business cycle indicators. Regression analysis indicates that private investors do not systematically move from stocks into bonds by selling stocks to institutional investors and purchasing bonds from them in adverse macroeconomic states. A VAR-error correction framework including cointegration and error correction restrictions suggests that the investment behavior of commercial investors leads and private investors follow in their investment decisions only slowly over time. The asset allocation decisions of institutional investors are not affected by the actions of private and commercial investors. Our results refute a principle of "institutional irrelevance". © 2008 Elsevier Inc. All rights reserved.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH
Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/a731b24a-eac5-4df8-8a78-a46157dcaad1