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Global Risk, Non-Bank Financial Intermediation, and Emerging Market Vulnerabilities
Chari, Anusha - National Bureau of Economic Research - 2023
Over the last two decades, the unprecedented increase in non-bank financial intermediation, particularly open-end mutual funds and ETFs, accounts for nearly half of the external financing flows to emerging markets exceeding cross-border lending by global banks. Evidence suggests that investment...
Persistent link: https://www.econbiz.de/10014250161
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Non-Fundamental Flows and Foreign Exchange Rates
Aldunate, Felipe E.; Da, Zhi; Larrain, Borja; Sialm, Clemens - National Bureau of Economic Research - 2022
Frequent, yet uninformed, fund flows in Chilean pension plans generate substantial trading in currency markets due to the high allocation to international securities. These non-fundamental flows have a significant impact on the Chilean peso, which is estimated to have a relatively low price...
Persistent link: https://www.econbiz.de/10013477245
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Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
Ehrlich, Isaac - 2010
deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance … models predict. Our model ascribes the "bias" to endogenous information acquisition bolstered by investors' human capital. We …
Persistent link: https://www.econbiz.de/10012462984
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Fund Flows and Income Risk of Fund Managers
Cen, Xiao; Dou, Winston Wei; Kogan, Leonid; Wu, Wei - National Bureau of Economic Research - 2023
Investment fund managers make asset allocation decisions on behalf of a significant segment of US households. To elucidate the incentives they operate under, as well as the income and career risks they face, we construct a unique and novel dataset, which encompasses detailed information on the...
Persistent link: https://www.econbiz.de/10014447307
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Differences of Opinion and International Equity Markets
Dumas, Bernard - 2011
We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic investors in the interpretation of home public signals impact equity markets....
Persistent link: https://www.econbiz.de/10012461904
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International Portfolios with Supply, Demand and Redistributive Shocks
Coeurdacier, Nicolas - 2007
This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are biased towards local equity; 2) international portfolios are long in foreign currency assets and short in domestic currency; 3) the depreciation of a country's exchange rate is associated...
Persistent link: https://www.econbiz.de/10012465225
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Home Bias in Open Economy Financial Macroeconomics
Coeurdacier, Nicolas - 2011
Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling … theories call for new portfolio facts beyond equity home bias. We present new evidence on crossborder asset holdings across …
Persistent link: https://www.econbiz.de/10012460966
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International Portfolio Allocation under Model Uncertainty
Benigno, Pierpaolo - 2009
This paper proposes an explanation of the international home bias in equity based on ambiguity aversion. Doubts imply … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias … explain a large share of the observed US home bias, as well as other stylized facts on US cross-border asset holdings …
Persistent link: https://www.econbiz.de/10012463913
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Investor Competence, Trading Frequency, and Home Bias
Graham, John R. - 2005
)). We investigate whether this "competence effect" influences trading frequency and home bias. We find that investors who …
Persistent link: https://www.econbiz.de/10012467253
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Corporate Governance and the Home Bias
Pinkowitz, Lee - 2001
reasonable assumptions, this stylized fact implies that portfolio holdings of U.S. investors should exhibit a home bias in …
Persistent link: https://www.econbiz.de/10012470035