Time-Varying Background Risk Over the Great Recession

32 Pages Posted: 1 Aug 2019 Last revised: 16 Dec 2019

See all articles by James Brugler

James Brugler

University of Melbourne - Department of Finance

Joachim Inkmann

University of Melbourne - Department of Finance; Financial Research Network (FIRN)

Adrian Rizzo

University of Melbourne, Department of Finance, Students

Date Written: December 16, 2019

Abstract

Using a large and representative panel survey of U.S. households conducted immediately before and after the Great Recession, we provide new evidence that this pivotal event changed the relationship between different sources of background risk and household stock market participation in non-uniform ways. Participation became more sensitive to earnings risk and risk associated with the solvency of Defined Benefit plan providers in the aftermath of the Great Recession yet less sensitive to household leverage and ownership of private business assets. Older and less educated households on average were less likely to hold stocks in 2009 than in 2007.

Keywords: Household Finance, Background Risk, Great Recession

JEL Classification: D14, D15, G01, G11

Suggested Citation

Brugler, James and Inkmann, Joachim and Rizzo, Adrian, Time-Varying Background Risk Over the Great Recession (December 16, 2019). Available at SSRN: https://ssrn.com/abstract=3428088 or http://dx.doi.org/10.2139/ssrn.3428088

James Brugler (Contact Author)

University of Melbourne - Department of Finance ( email )

Faculty of Business and Economics
Parkville, Victoria 3010 3010
Australia

Joachim Inkmann

University of Melbourne - Department of Finance ( email )

Level 12, 198 Berkeley Street
University of Melbourne, Victoria 3010
Australia
0061 3 9035 8177 (Phone)

HOME PAGE: http://orcid.org/0000-0002-5526-7648

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Adrian Rizzo

University of Melbourne, Department of Finance, Students ( email )

Melbourne
Australia

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