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This paper conducts a theoretical and empirical investigation of global portfolio diversification for long … risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors … volatility shocks. Our findings imply that the benefits of global equity diversification have not declined for long horizon …
Persistent link: https://www.econbiz.de/10012918085
Current U.S. law nets the total portfolio of realized capital gains and losses to compute capital gains taxes. Prior research, however, typically ignores the implication of this provision, i.e., the marginal tax rate for a specific gain or loss depends on the taxpayer's total portfolio of...
Persistent link: https://www.econbiz.de/10013224305
The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification …
Persistent link: https://www.econbiz.de/10013228251
Investor sophistication has lagged behind the growing complexity of retail financial markets. To explore this, we develop a dynamic model to study the interaction between obfuscation and investor sophistication. Taking into account different learning mechanisms within the investor population, we...
Persistent link: https://www.econbiz.de/10013228646
One possible explanation for home bias is that investors may obtain indirect international diversification benefits by … tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in … multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full …
Persistent link: https://www.econbiz.de/10012787511
portfolio diversification—NPD) or engage in naïve buying diversification (NBD)—equally balancing values in same-day purchases of … suggests that NBD substantially reduces investor welfare. These findings suggest that behavioral finance theory should …
Persistent link: https://www.econbiz.de/10012892561
What idiosyncratic consumption risks can countries trade away on international asset markets? This paper develops an empirical methodology for answering the question. The tests are based on the proposition that in an integrated world asset market with representative national agents, the ex post...
Persistent link: https://www.econbiz.de/10012778767
Using a continuous-time finance-theoretic framework, this paper presents the optimal portfolio rule of an international investor who consumes N national composite goods and who holds N domestic-currency-denominated assets with known nominal interest rates in an environment where prices of goods,...
Persistent link: https://www.econbiz.de/10012757327
corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross … diversification from multinationals reduces the transaction and information costs of investing abroad and captures fund manager skill …
Persistent link: https://www.econbiz.de/10013405214
Recent studies have used import data to assess the impact of foreign varieties on prices and welfare for a home country. The reliance on import data has a number of limitations. First, these papers rely on goods categories defined by the Harmonized System. Second, they define varieties using the...
Persistent link: https://www.econbiz.de/10013228054