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risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across … international markets. The innovation we offer is ascribing home bias to endogenous information acquisition, or “asset management … determining how home bias varies among individual investors and across financial markets. Our model also provides insights …
Persistent link: https://www.econbiz.de/10013139178
Credit rating agencies are frequently criticized for producing biased sovereign ratings. This article discusses how the home country of rating agencies could affect rating decisions as a result of political economy influences and cultural distance. Using data from nine agencies based in six...
Persistent link: https://www.econbiz.de/10011284918
countries, we investigate empirically if there is systematic evidence for a home bias in sovereign ratings. Specifically, we use … explained by the fundamentals of rated countries, our results provide empirical support for the existence of a home bias in … sovereign ratings. We find that the bias becomes more accentuated following the onset of the Global Financial Crisis and appears …
Persistent link: https://www.econbiz.de/10010234188
countries, we investigate empirically if there is systematic evidence for a home bias in sovereign ratings. Specifically, we use … explained by the fundamentals of rated countries, our results provide empirical support for the existence of a home bias in … sovereign ratings. We find that the bias becomes more accentuated following the onset of the Global Financial Crisis and appears …
Persistent link: https://www.econbiz.de/10010480669
How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...
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