Investors' Portfolios Shift Due to Non-Tradeable Assets, Impacting Market Dynamics.
Asset managers create policy portfolios as long-term benchmarks, ideally mirroring the market portfolio. However, trading all assets in the market is challenging, especially non-listed equity. This study shows that the presence of non-tradable assets leads investors to deviate from holding the market portfolio. Those with access to non-tradable assets adjust their portfolios away from certain assets, while those without access adjust towards them.