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Foreign and domestic investment in global bond markets
Park, Donghyun; Taniguchi, Kiyoshi; Tian, Shu - 2018
Gauging foreign (domestic) biases as the deviation of foreign (domestic) investors' actual portfolio allocation of a bond market from the same bond market's weight in global bond market, we investigate the determinants of foreign and domestic investment biases in 41 global bond markets. We find...
Persistent link: https://www.econbiz.de/10011791937
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(Asymmetric) Trade Costs, Real Exchange Rate Hedging, and Equity Home Bias in a Multi-Country Model
Pyun, Ju Hyun - 2017
There has been controversy between (two-country) theory and the empirics about whether hedging against real exchange … rate fluctuations in the goods market influences foreign equity holdings. This study reconciles the theory with the … exchange rate fluctuations. Further, our theory calls for a country's covariance-variance ratio to be constructed as the sum of …
Persistent link: https://www.econbiz.de/10012947564
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Embedded Leverage
Frazzini, Andrea - 2020
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10012837946
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The currency composition of foreign exchange reserves after the euro
Yu, Jinsong - 1999
Persistent link: https://www.econbiz.de/10001417384
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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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Private information, human capital, and optimal “home bias” in financial markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011
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/10009516904
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Staatsfonds - "neue" Akteure an den Finanzmärkten?
Schalast, Christoph (contributor);  … - 2009
Sovereign Wealth Funds (SWFs) have become active investors on the financial markets. This working paper meets the increasing thirst for information on the investment activities of Sovereign Wealth Funds, their legal environment and the implications on German stock listed corporations. Thus, this...
Persistent link: https://www.econbiz.de/10003816335
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Country-Specific Risk Diversification Through International Equity Portfolios
Pizzutilo, Fabio - 2010
The existence of country-specific risk factors that could be mitigated by international investments is investigated. An innovative methodology for quantifying the benefits of international diversification is also proposed and tested. In order to overcome many of the problems that arise in the...
Persistent link: https://www.econbiz.de/10013136337
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Human Capital, Endogenous Information Acquisition, and Home Bias in Financial Markets
Ehrlich, Isaac - 2010
Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...
Persistent link: https://www.econbiz.de/10013138033
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Human Capital, Endogenous Information Acquisition, and Home Bias in Financial Markets
Ehrlich, Isaac - 2010
Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...
Persistent link: https://www.econbiz.de/10013139178