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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
time-varying properties of correlations across countries. The home bias has the effect of increasing local influences on …
Persistent link: https://www.econbiz.de/10014023855
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Differences of Opinion and International Equity Markets
Dumas, Bernard - 2017
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/10012976649
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A return-based approach to identify home bias of European equity funds
Maier, Moritz; Scholz, Hendrik - In: The European journal of finance 24 (2018) 15, pp. 1288-1310
Persistent link: https://www.econbiz.de/10012258891
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Essays in international finance : risk, jumps and diversification
M'Saddek, Oussama - 2018
Persistent link: https://www.econbiz.de/10012204650
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The reality of stock market jumps diversification
Chen, Mark Ke; Vitiello, Luiz; Hyde, Stuart; Poon, Ser-Huang - In: Journal of international money and finance 86 (2018), pp. 171-188
Persistent link: https://www.econbiz.de/10012000491
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Investor Sophistication and the Home Bias, Diversification, and Employer Stock Puzzles
Kimball, Miles S. - 2010
Using data from the April 2005 Survey of Consumers, we develop an index of investor sophistication from a set of 14 quiz-like questions. We correlate our measure of sophistication with holdings of international investments, measures of diversification, and holdings of an employer's stock. We...
Persistent link: https://www.econbiz.de/10013146631
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Do mutual funds outperform during recessions? : international (counter-) evidence
Fink, Christopher; Raatz, Katharina; Weigert, Florian - 2014 - This draft: September 28, 2014
Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...
Persistent link: https://www.econbiz.de/10010410729
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Higher Moment Six-Factor Model in Explaining Mutual Fund Portfolio Return in Different Market Conditions
Naktnasukanjn, Nathee - 2015
This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance both unconditionally and conditionally, and between up and down market of three selected countries in Asia - China,...
Persistent link: https://www.econbiz.de/10013020389
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The performance of US-based emerging market mutual funds
Kiymaz, Halil; Simsek, Koray D. - In: Journal of capital markets studies 1 (2017) 1, pp. 58-73
Purpose - The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach - The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through...
Persistent link: https://www.econbiz.de/10012063525
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Home Bias and Expected Returns : A Structural Approach
Wallmeier, Martin; Iseli, Christoph - 2022
We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active … evidence suggests that the premium is almost negligible even though the home bias is substantial. This result is mainly driven … by the generally high correlation of index returns and the distribution of the relative level of the home bias across …
Persistent link: https://www.econbiz.de/10013405489