Similar Search Results

Hau, Harald - 2010

This paper presents new stylized facts on the distribution of the home bias at the fund level. We find (i) a large heterogeneity in the degree of home bias across mutual funds; (ii) a positive correlation between the size of funds and home bias; and (iii) a positive correlation between the size...

Persistent link: https://www.econbiz.de/10012758592

Not so Disconnected : Exchange Rates and the Capital Stock

Hassan, Tarek A. - 2015

We investigate the link between stochastic properties of exchange rates and differences in capital-output ratios across industrialized countries. To this end, we endogenize capital accumulation within a standard model of exchange rate determination with nontraded goods. The model predicts that...

Persistent link: https://www.econbiz.de/10013017513

Heterogeneous Frictional Costs Across Industries in Cross-Border Mergers and Acquisitions

Blonigen, Bruce A. - 2016

While there has been significant research to explore the determinants (and frictions) of foreign direct investment (FDI), past literature primarily focuses on country-wide FDI patterns with little examination of sectoral heterogeneity in FDI. Anecdotally, there is substantial sectoral...

Persistent link: https://www.econbiz.de/10012984746

The International Diversification Puzzle is Not as Bad as You Think

Heathcote, Jonathan - 2007

portfoliosshould be heavily biased toward foreign assets. The fact that theopposite pattern of diversification is observed empirically … constitutes the international diversification puzzle. We embed aportfolio choice decision in a frictionless two-country, two … against non-diversifiable labor income risk. We then use our our theory to link openness to trade to the level of …

Persistent link: https://www.econbiz.de/10012775835

Investor Competence, Trading Frequency, and Home Bias

Graham, John R. - 2010

towards the home market and international portfolio diversification …

Persistent link: https://www.econbiz.de/10012762441

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/10013130709

International Portfolios with Supply, Demand and Redistributive Shocks

Coeurdacier, Nicolas - 2010

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/10012759809

International Financial Integration and Crisis Contagion

Devereux, Michael B. - 2014

International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints....

Persistent link: https://www.econbiz.de/10013046603

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets

Ehrlich, Isaac - 2010

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed 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...

Persistent link: https://www.econbiz.de/10013148668

Volatility Managed Portfolios

Moreira, Alan - 2016

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors...

Persistent link: https://www.econbiz.de/10012993228

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