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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2010
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10013152498
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International Portfolio Diversification and Labor/Leisure Choice
Jermann, Urban J. - 2021
When marginal utility of consumption depends on leisure, investors will take this into account when allocating their wealth among different assets. This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor-leisure and consumption are chosen...
Persistent link: https://www.econbiz.de/10013311869
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International Portfolio Diversification and Multilateral Effects of Correlations
Bergin, Paul R. - 2012
theory would predict. Since covariances are central to modern theories of portfolio choice, this empirical methodology should …
Persistent link: https://www.econbiz.de/10013109442
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Consumption, Stock Returns, and the Gains from International Risk-Sharing
Lewis, Karen K. - 2008
Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption...
Persistent link: https://www.econbiz.de/10012774983
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Unexploited Gains from International Diversification : Patterns of Portfolio Holdings Around the World
Didier, Tatiana - 2010
This paper studies how portfolios with a global investment scope are actually allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The...
Persistent link: https://www.econbiz.de/10013134865
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Investor Diversification and International Equity Markets
French, Kenneth R.; Poterba, James M. - 2021
The benefits of international diversification have been recognized for decades. In spite of this, most investors hold nearly all of their wealth in domestic assets. In this paper, we construct new estimates of the international equity portfolio holdings of investors in the U.S., Japan, and...
Persistent link: https://www.econbiz.de/10013228251
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The Holders and Issuers of International Portfolio Securities
Galstyan, Vahagn - 2016
Research on the geographical distribution of international portfolios has mainly focused on data aggregated to the country level. We exploit newly-available data that disaggregates the holders and issuers of international securities along sectoral lines. We find that patterns evident in the...
Persistent link: https://www.econbiz.de/10012985950
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The Risk Tolerance of International Investors
Froot, Kenneth; O'Connell, Paul G.J - 2003
in fundamental value. In this paper, we take an alternative approach by looking at the world-wide holdings and trading of …
Persistent link: https://www.econbiz.de/10014074149
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Portfolio Choice with Illiquid Assets
Ang, Andrew - 2013
We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and...
Persistent link: https://www.econbiz.de/10013076171
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International Home Bias in International Finance and Business Cycles
Lewis, Karen K. - 2008
portfolio theory would suggest. This phenomenon has been called equity home bias.' In the absence of this home bias, investors … would optimally diversify away domestic output risk. Therefore, in a world without investor home bias, consumption growth … country appears to be highly correlated with its own output growth relative to the world. This phenomenon may be called …
Persistent link: https://www.econbiz.de/10012774915