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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

Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles

Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - 2017

We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some...

Persistent link: https://www.econbiz.de/10011762277

The puzzling evolution of the home bias, information processing and financial openness

Mondria, Jordi; Wu, Thomas Yen Hon - 2007

This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...

Persistent link: https://www.econbiz.de/10003855480

A Portfolio Diversification Index Analysis of the Home Bias

Diyarbakirlioglu, Erkin - 2020

This paper implements a parsimonious and practical methodology to examine the diversification potential of international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal of Portfolio Management [2006]) efficiently replicates a...

Persistent link: https://www.econbiz.de/10012857495

Infrequent random portfolio decisions in an open economy model

Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - 2021

We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...

Persistent link: https://www.econbiz.de/10012801368

Private Information, Human Capital, and Optimal 'Home Bias' in Financial Markets

Ehrlich, Isaac - 2015

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/10013037509

(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

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of capital markets studies 5 (2021) 1, pp. 28-48

Purpose - It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP)....

Persistent link: https://www.econbiz.de/10012624870

Robust VaR and CVaR Optimization under Joint Ambiguity in Distributions, Means, and Covariances

Lotfi, Somayyeh - 2018

We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ellipsoidal, polytopic, and interval ambiguity sets of the means and...

Persistent link: https://www.econbiz.de/10012936302

When Bonds Matter : Home Bias in Goods and Assets

Coeurdacier, Nicolas - 2011

the model for G-7 countries and find strong empirical support for the theory. We are able to account for a significant …

Persistent link: https://www.econbiz.de/10013119146

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