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Time: 1.00pm - 2.00pm
Venue: Business School Room 3022, Kingston Hill campus, Kingston Hill, Kingston upon Thames, Surrey KT2 7LB
Speaker(s): Professor Sarah Brown (University of Sheffield)
Microeconometric evidence of the effects of so-called background risk (Pratt and Zeckhauser 1987; Kimball 1991; Gollier and Pratt 1996) on household financial portfolio allocation is mixed. Exploiting data from the US Survey of Consumer Finances, we propose a deflated fractional ordered probit (DFOP) model to investigate the extent to which households with a greater susceptibility to background risk reduce their financial risk exposure. Background risk is found to have a significant impact on portfolio composition, resulting in a flight to safety from riskier into safer asset classes.
About the speaker
Prof Sarah Brown is a director of the Institute for Economic Analysis of Decision-making (InstEAD). She took up a Chair in Economics at the University of Sheffield in 2005 and was Head of Department from 2006 to 2011. She was a member of the Grant Assessment Panel C of the Economic and Social Research Council from 2010 to 2013 and a member of the REF 2014 Economics & Econometrics Sub-Panel. Her research interests lie in the areas of labour economics, household finances and applied micro-econometrics.
For further information about this event:
Contact: Dr Hang Do
Directions to Business School Room 3022, Kingston Hill campus, Kingston Hill, Kingston upon Thames, Surrey KT2 7LB:
Dr Hang Do