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The home bias in equities and distribution costs
Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the “home bias” in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even...
Persistent link: https://www.econbiz.de/10008779855
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The home bias in equities and distribution costs
Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the "home bias" in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...
Persistent link: https://www.econbiz.de/10008758929
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The home bias in equities and distribution costs
Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - In: The Scandinavian journal of economics 117 (2015) 3, pp. 983-1018
Persistent link: https://www.econbiz.de/10011391988
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The Home Bias in Equities and Distribution Costs
Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the "home bias" in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...
Persistent link: https://www.econbiz.de/10011430091
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Is Home Bias in Assets Related to Home Bias in Goods?
van Wincoop, Eric; Warnock, Francis E. - 2006
Obstfeld and Rogoff (2000) have reinvigorated an old literature on the link between home bias in the goods markets and home bias in the asset market by arguing that trade costs in the goods market can account for the observed portfolio home bias. The key link between home bias in the two markets...
Persistent link: https://www.econbiz.de/10014054451
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Country portfolios with imperfect corporate governance
Mukherjeey, Rahul - 2010
Equity home bias is one of the most enduring puzzles in international finance. In this paper, I start out by documenting a novel stylized fact about home bias: countries with weaker domestic institutions hold fewer foreign assets. I then explore a macroeconomic mechanism by which the presence of...
Persistent link: https://www.econbiz.de/10008989285
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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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(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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The home bias in equities and distribution costs
Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...
Persistent link: https://www.econbiz.de/10010303899
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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