BACKGROUND RISK AND UNIVERSITY ENDOWMENT FUNDS

• 成果类型: Article
• 署名作者: Dimmock, Stephen G.
• 署名单位: Nanyang Technological University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00180
• 发表日期: 2012-08
• 页码: 789-799
• 关键词: private equity; aversion; income

摘要

This paper tests the effect of background risk on university endowment portfolios, where background risk is defined as the volatility of universities' nonfinancial income. The results show that higher background risk is associated with lower portfolio standard deviations. Universities with higher background risk invest significantly more in fixed income and less in alternative assets. A 1 standard deviation increase in background risk increases the allocation to fixed income by approximately 15% relative to the mean. There is also evidence that wealthier, highly selective universities hold riskier portfolios.