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Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds
Journal article   Peer reviewed

Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds

Mariassunta Giannetti and Luc Laeven
Review of Finance, Vol.20(3), pp.947-978
2016

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.

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