G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4889
DP4889 Credit Crunch and Keynesian Contraction: Argentina in Crisis
Marcus Miller; Javier García-Fronti
发表日期2005-01-23
出版年2005
语种英语
摘要We study the link between portfolio choice and different college-based interaction ? defined as the one that relates the portfolio choice of an investor to that of the other investors who went to the same college. We explain it in terms of a common cultural imprinting and the development of long-term friendship and alumni network and we directly quantify this bonding effect. We use a new dataset with information on portfolio choice ? broken down at the stock level ? wealth, income and demographic characteristics of a big panel of investors as well as information on the college they attended and their family situation at the time. We compare college-based interaction to other forms of social interaction, such as educational, professional and geographical interaction, properly controlling for all the standard motivations of portfolio theory, such as hedging of non-financial income risk, familiarity and information effects, wealth and income effect, a host of demographic, geographic and professional dummies, trend-chasing and momentum behaviour. All the different sources of social interaction significantly affect stock-picking as well as the choice between direct and delegated investment, both statistically and economically. College-based interaction is, however, the most important of them and the third single most important factor affecting stock picking. The impact of college-based interaction aggregates at the market level and affects stock prices. For each company, we construct measures of the degree of strength of college-based interaction among shareholders. We show that an increase in the strength of interaction reduces stock return and volatility. This can be rationalized in terms of recent theories on the impact of dispersion of beliefs in the presence of short-sale constraints.
主题Financial Economics
关键词Portfolio choice Social interaction Education Asset pricing
URLhttps://cepr.org/publications/dp4889
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/533790
推荐引用方式
GB/T 7714
Marcus Miller,Javier García-Fronti. DP4889 Credit Crunch and Keynesian Contraction: Argentina in Crisis. 2005.
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