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Do Nontraded Goods Explain the Home Bias Puzzle?
Pesenti, Paolo - 1996
domestic shares under full diversification. When stock-market data are directly used, the predicted coefficient of home bias …
Persistent link: https://www.econbiz.de/10012473049
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Home Bias at the Fund Level
Hau, Harald - 2008
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/10012464475
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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/10012456133
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Not so Disconnected : Exchange Rates and the Capital Stock
Hassan, Tarek Alexander - 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/10012457223
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Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US
Lewis, Karen K. - 2006
would imply about the diversification potential across countries. For this purpose, I examine two basic groups of … group since this is the standard approach in the international diversification literature, while I study the second group … since some have argued that US-listed foreign stocks are the more natural diversification vehicle (Errunza et al (1999)). In …
Persistent link: https://www.econbiz.de/10012465963
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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/10012465163
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Information Immobility and the Home Bias Puzzle
Van Nieuwerburgh, Stijn - 2007
Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why doesn't global information access eliminate this asymmetry? We model investors, endowed with a small home information advantage, who choose what information to...
Persistent link: https://www.econbiz.de/10012465284
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Investor Competence, Trading Frequency, and Home Bias
Graham, John R. - 2005
home market and international portfolio diversification …
Persistent link: https://www.econbiz.de/10012467253
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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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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/10012462984