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Heterogeneity in asset allocation decisions : empirical evidence from Switzerland

Drobetz, Wolgang and Kugler, Peter and Wanzenried, Gabrielle and Zimmermann, Heinz. (2009) Heterogeneity in asset allocation decisions : empirical evidence from Switzerland. International review of financial analysis, 18. pp. 84-93.

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Abstract

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we estimate the relationship between equity and bond holdings and common business cycle indicators. Regression analysis indicates that private investors do not systematically move from stocks into bonds by selling stocks to institutional investors and purchasing bonds from them in adverse macroeconomic states. A VAR-error correction framework including cointegration and error correction restrictions suggests that the investment behavior of commercial investors leads and private investors follow in their investment decisions only slowly over time. The asset allocation decisions of institutional investors are not affected by the actions of private and commercial investors. Our results refute a principle of "institutional irrelevance".
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Geld- und Währungsgeschichte (Kugler)
UniBasel Contributors:Kugler, Peter and Zimmermann, Heinz
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:Elsevier
ISSN:1057-5219
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:21 Nov 2017 07:56
Deposited On:22 Mar 2012 14:03

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