The investor preference for home assets rather than a diversified portfolio of international assets termed 'home bias' remains a puzzle, given recent information and technology improvements, although presumed risk reduction benefits may have been reduced through improved financial market...

This article presents a study of asset price volatility, correlation trends and market risk premia. Recent evidence shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US (Campbell et al., 2001). We find that, in relation to the Euro-area stock...