当地所有权，金融危机和资产价格：来自美国共同基金的证据

作者：Mariassunta Giannetti , Luc Laeven

摘要：我们通过对美国共同基金持有的国内资产组合进行研究，提供了投资者在市场总体波动较大时倾向于选择地理位置更遥远的投资组合进行平仓这一微观证据。这对于资产定价有重要的启示。当市场总体波动比较大时，那些事前有着较低当地所有权的公司价值更易下跌。此外，若股票的持有者地理距离更遥远，其更易暴露于市场总体波动的变化中。

关键词：当地偏见，共同基金，市场层面，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

原文链接：http://rof.oxfordjournals.org/content/20/3/947.abstract

翻译：金明