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Integrated capital markets facilitate risk sharing across countries. Lower home bias in financial investments is an … indicator of risk sharing. We highlight that existing indicators of equity home bias in the literature suffer from incomplete … coverage because they consider only listed equities. We also consider unlisted equites and show that equity home bias is much …
Persistent link: https://www.econbiz.de/10011613999
. Such return driven behavior of foreign investors is especially pronounced in emerging bond markets. Meanwhile, home bias is …
Persistent link: https://www.econbiz.de/10011791937
bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in … financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial …
Persistent link: https://www.econbiz.de/10013043720
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 endogenous information acquisition bolstered by investors' human capital. We …
Persistent link: https://www.econbiz.de/10013037509
We exploit individual security holdings data for global mutual funds to distinguish between two reasons why a fund's holdings of emerging market economy (EME) bonds might change: (i) the amount invested in the fund changes and (ii) the fund manager changes portfolio allocations. We find that...
Persistent link: https://www.econbiz.de/10012625521
In this paper, we first document the growing importance of foreign-domiciled investment funds in countries' portfolio liabilities over time and then show empirical evidence that cross-border fund flows are coincident with asset price movements. To measure the external liabilities of countries to...
Persistent link: https://www.econbiz.de/10013489447
In this paper, we first document the growing importance of foreign-domiciled investment funds in countries' portfolio liabilities over time and then show empirical evidence that cross-border fund flows are coincident with asset price movements. To measure the external liabilities of countries to...
Persistent link: https://www.econbiz.de/10014287894
With increasing financial integration and improving regulatory quality, we expect equity home bias to decline. Drawing … integration and regulatory quality; and equity home bias in emerging Asia. To test the significance, a pooled OLS estimation was … lower equity home bias against global and regional stocks. The estimates also find that the lag value of the home bias …
Persistent link: https://www.econbiz.de/10010367363
This paper unveils the processes for building a country's trading strategy that can outperform the MSCI Indexes and on the factor basis. By exploring the belief and experimenting with the structure in place, there seems to be enough room to build a quantitative investment strategy that generates...
Persistent link: https://www.econbiz.de/10012837713
Persistent link: https://www.econbiz.de/10010481321