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Home Bias in Open Economy Financial Macroeconomics

Coeurdacier, Nicolas - 2011

Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modelling that incorporate international portfolio choices in standard two-country general equilibrium models. We refer...

Persistent link: https://www.econbiz.de/10013117208

Corporate Governance and the Home Bias

Pinkowitz, Lee - 2012

equilibrium. We construct an estimate of the world portfolio of shares available to investors who are not controlling shareholders …. This available world portfolio differs sharply from the world market portfolio. In regressions explaining the portfolio … weights of U.S. investors, the world portfolio of available shares has a positive significant coefficient but the world market …

Persistent link: https://www.econbiz.de/10012755951

Asset Liquidity and International Portfolio Choice

Geromichalos, Athanasios - 2011

We study optimal portfolio choice in a two-country model where assets represent claims on future consumption and facilitate trade in markets with imperfect credit. Assuming that foreign assets trade at a cost, agents hold relatively more domestic assets. Consequently, agents have larger claims...

Persistent link: https://www.econbiz.de/10013121055

The Limits of Financial Globalization

Stulz, René M. - 2005

Despite the dramatic reduction in explicit barriers to international investment activity over the last 60 years, the impact of financial globalization has been remarkably limited. I argue that country attributes are still critical to financial decision-making because of what I call the twin...

Persistent link: https://www.econbiz.de/10012784989

Financial Globalization, Governance, and the Evolution of the Home Bias

Kho, Bong-Chan - 2009

Despite the disappearance of formal barriers to international investment across countries, we find that the average home bias of U.S. investors towards the 46 countries with the largest equity markets did not fall from 1994 to 2004 when countries are equally weighted but fell when countries are...

Persistent link: https://www.econbiz.de/10012767281

International Portfolio Diversification and Multilateral Effects of Correlations

Bergin, Paul R. - 2012

returns more correlated with home assets. Often attributed to a preference for familiarity, this ‘correlation puzzle' further … bilateral stock return correlation must be studied in the context of the full covariance structure. For example, the … covariance structure in a theoretically rigorous yet tractable manner. Estimation under this approach overturns the correlation …

Persistent link: https://www.econbiz.de/10013109442

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

Ehrlich, Isaac - 2010

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/10013148668

Multinationals and the Gains from International Diversification

Rowland, Patrick F. - 2002

One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential...

Persistent link: https://www.econbiz.de/10012787511

International Portfolios with Supply, Demand and Redistributive Shocks

Coeurdacier, Nicolas - 2010

the rest of the world. We present a two-country, two-good model with trade in stocks and bonds, and three types of …

Persistent link: https://www.econbiz.de/10012759809

International Portfolio Allocation Under Model Uncertainty

Benigno, Pierpaolo - 2010

This paper proposes an explanation of the international home bias in equity based on ambiguity aversion. Doubts imply an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What matters is the long-run as opposed to the short-run risk....

Persistent link: https://www.econbiz.de/10012757854