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...

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...

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...

Analyzing several Developed and Emerging international markets, I test the ability of global, regional, and local models to explain a large set of 134 cross-sectional anomalies. My main finding is that both global and regional factor models create substantially larger average absolute alphas...

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....

The observed international home bias has traditionally been viewed as an anomaly. This paper provides statistical evidence contrary to this view within a mean-variance framework. Two methods of estimating the expected return and covariance parameters are investigated: (i) the traditional...

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...

This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...

Our paper investigates the particularities of the evolution of stock returns for the Romanian listed companies that were beneficiaries of non-repayable structural and cohesion European funds during Jan.2010 – Mar.2012. We use data mining techniques to analyze daily prices for 18 such companies...