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Mariassunta Giannetti, Luc Laeven, Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds , Review of Finance, Volume 20, Issue 3, May 2016, Pages 947–978, https://doi.org/10.1093/rof/rfv034
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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.
© The Authors 2015. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For Permissions, please email: [email protected]
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