Portfolio Choice: Familiarity, Hedging, and Industry Bias
研究美国财产责任保险公司股票投资组合中的行业权重偏差，发现它们因承保风险而低配自身行业及相关行业，即使对同行有信息优势。
Abstract Investors may underdiversify their portfolios by overweighting securities in which they perceive an informational advantage or by underweighting securities to hedge risks outside the portfolio. We investigate underdiversification in institutional portfolio construction by examining the under/overweighting of industries in U.S. property–liability (PL) insurers’ equity portfolios. We find that PL insurers underweight both their own industry and highly correlated industries in their portfolios. This underweighting is larger for PL insurers exposed to higher underwriting risk. Although PL insurers have an informational advantage in investing in their peers, their underwriting risk drives them to underweight stocks in their industry.