How does entrepreneurship influence the efficiency of household portfolios?

This paper examines the impact of entrepreneurship on the efficiency of household financial portfolios by constructing Sharpe ratios and Sortino ratios of seven kinds of financial assets, based on data from the 2013, 2015 and 2017 China Household Finance Survey (CHFS), in conjunction with the returns of the financial asset index of China from 2010 to 2018. Employing CRE regressions, Heckman two-stage models and PSM methods, we find that undertaking entrepreneurship helps to increase the efficiency of household portfolios significantly. This study also verifies that entrepreneurial households improve their portfolio efficiency through financial information by testing the moderating effects of social network, business experience and financial literacy. In addition, this study shows that entrepreneurial households generally adopt a less diversified strategy in asset allocation than do non-entrepreneurial households.