Brown, S. orcid.org/0000-0002-4853-9115, Gray, D., Harris, M. et al. (1 more author) (2016) Portfolio Allocation, Income Uncertainty and Households' Flight from Risk. Working Paper. Sheffield Economic Research Paper Series (SERPS), 201601 (2016012). Department of Economics, University of Sheffield ISSN 1749-8368
Abstract
Analysing the US Panel Study of Income Dynamics, we present a new empirical method to investigate the extent to which households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach - termed a deflated fractional ordered probit model - quantifies how the overall asset composition in a portfolio adjusts with background risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from riskier to safer assets.
Metadata
Item Type: | Monograph |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | The Sheffield Economic Research Paper Series (SERPS) offers a forum for the research output of the Department of Economics, University of Sheffield. Papers are reviewed for quality and presentation by two internal referees and a departmental editor. However, the contents and opinions expressed remain the responsibility of the author(s). Comments are welcomed and should be addressed to the individual author(s). |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 23 Feb 2017 15:56 |
Last Modified: | 23 Feb 2017 15:56 |
Published Version: | http://www.sheffield.ac.uk/economics/research/serp... |
Status: | Published |
Publisher: | Department of Economics, University of Sheffield |
Series Name: | Sheffield Economic Research Paper Series (SERPS) |
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Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:112701 |