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behavior of the home bias - an initial plateau before 1985, then a decrease until 1994 followed by stabilization on another … home bias until its steady state. In the long run, the home bias remains large due to the interaction of the optimal … explanatory variables, we are able to explain at least 46.8% of the variation of the home bias for 19 developed countries from …
Persistent link: https://www.econbiz.de/10003855480
which extent sovereign ratings help to predict the degree of investors’ home bias, as measured by the share of outward …
Persistent link: https://www.econbiz.de/10010376495
investors' home bias, and whether they can account for the divergent dynamics before and after the global financial crisis. At …
Persistent link: https://www.econbiz.de/10010496949
, we review the evidence on the terms of this challenge. We conclude that a Swiss bias in asset allocation can lead to …
Persistent link: https://www.econbiz.de/10011962939
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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
Persistent link: https://www.econbiz.de/10011734713
This paper analyzes the effect of the recent market crash on the international diversification of equity portfolios from the perspective of dependence structure. We use the generalized Pareto distribution to fit the left and the right tail of each return distribution in order to evaluate the...
Persistent link: https://www.econbiz.de/10013098035
Persistent link: https://www.econbiz.de/10011301973
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