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

56 Pages Posted: 2 May 2012 Last revised: 28 Oct 2018

See all articles by Mariassunta Giannetti

Mariassunta Giannetti

Stockholm School of Economics; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swedish House of Finance

Luc Laeven

European Central Bank (ECB); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 3 versions of this paper

Date Written: June 3, 2015


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.

Keywords: Home bias, local bias, mutual funds, stock market, aggregate market volatility

JEL Classification: F4, G02, G11

Suggested Citation

Giannetti, Mariassunta and Laeven, Luc A., Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds (June 3, 2015). Review of Finance, Forthcoming, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 335/2012, Available at SSRN: https://ssrn.com/abstract=2049253 or http://dx.doi.org/10.2139/ssrn.2049253

Mariassunta Giannetti (Contact Author)

Stockholm School of Economics ( email )

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HOME PAGE: http://sites.google.com/site/mariassuntagiannetti/Home

Centre for Economic Policy Research (CEPR)

United Kingdom

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels

HOME PAGE: http://www.ecgi.org

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm

Luc A. Laeven

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314

Centre for Economic Policy Research (CEPR)

United Kingdom

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