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corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross … diversification from multinationals reduces the transaction and information costs of investing abroad and captures fund manager skill …
Persistent link: https://www.econbiz.de/10013405214
This paper conducts a theoretical and empirical investigation of global portfolio diversification for long … risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors … volatility shocks. Our findings imply that the benefits of global equity diversification have not declined for long horizon …
Persistent link: https://www.econbiz.de/10012918085
Current U.S. law nets the total portfolio of realized capital gains and losses to compute capital gains taxes. Prior research, however, typically ignores the implication of this provision, i.e., the marginal tax rate for a specific gain or loss depends on the taxpayer's total portfolio of...
Persistent link: https://www.econbiz.de/10013224305
The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification …
Persistent link: https://www.econbiz.de/10013228251
Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication. Taking into account different learning mechanisms within the investor population, we...
Persistent link: https://www.econbiz.de/10013228646
One possible explanation for home bias is that investors may obtain indirect international diversification benefits by … tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in … multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full …
Persistent link: https://www.econbiz.de/10012787511
The empirical evidence on rational inattention lags far behind the theoretical developments: micro evidence on the most immediate consequence of observation costs − the infrequent observation of state variables − is not available in standard datasets. We contribute to filling the gap with...
Persistent link: https://www.econbiz.de/10013146508
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current...
Persistent link: https://www.econbiz.de/10013151649
Recurrent intervals of inattention to the stock market are optimal if consumers incur a utility cost to observe asset values. When consumers observe the value of their wealth, they decide whether to transfer funds between a transactions account from which consumption must be financed and an...
Persistent link: https://www.econbiz.de/10013152620
We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...
Persistent link: https://www.econbiz.de/10013088400