Two of the top economics journals have institutional ties to a specific university, the Quarterly Journal of Economics (QJE) to Harvard University and the Journal of Political Economy (JPE) to the University of Chicago. Researchers from Harvard, but also nearby Massachusetts Institute of...

In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz's mean-variance model. Based on the...

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns over different time scales. The estimated partial correlations are subsequently used in a cluster analysis to identify, for each time scale, groups of stocks that exhibit distinct...

In the context of the Belt and Road Initiative (BRI), we review selected studies that explicitly or implicitly address the question of whether there occurs synchronization of stock markets between China and the BRI economies. Following this, we examine the extent to which this synchronization of...

We exploit variation in the ancestries of U.S. equity mutual fund managers to show that ancestry affects portfolio decisions. Controlling for fund firm location, we find that funds overweight stocks from their managers’ ancestral home countries in their non-U.S. portfolio by 132 bps or 20.34%...

In the presence of scale economies, industries are incentivized to localize production. Geography is key in determining where that localization happens. The Home Market Effect (HME) predicts that locations with the largest demand are the host. Yet, since its origin by Krugman (1980), the...

We investigate the degree to which cryptocurrencies provide diversification benefits to an investor. We use a stochastic spanning methodology to construct optimal portfolios with and without cryptocurrencies, evaluating their comparative performance both in- and out-of-sample. Empirical analysis...

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns over different time scales. The estimated partial correlations are subsequently used in a cluster analysis to identify, for each time scale, groups of stocks that exhibit distinct...

In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz's mean-variance model. Based on the...

We use the European Central Bank's new and detailed database of European equity holdings by households to test two competing theories of international biases in equity portfolios, viz. that they reflect either informational advantages or familiarity bias. The database allows lookthrough handling...

We use the European Central Bank's new and detailed database of European equity holdings by households to test two competing theories of international biases in equity portfolios, viz. that they reflect either informational advantages or familiarity bias. The database allows lookthrough handling...

In the context of the Belt and Road Initiative (BRI), we review selected studies that explicitly or implicitly address the question of whether there occurs synchronization of stock markets between China and the BRI economies. Following this, we examine the extent to which this synchronization of...

Recent studies in the international economics literature emphasize the role of home bias in explaining a number of empirical puzzles. In the present study, we test for the following hypotheses: (i) that a home bias effect, which is nevertheless falling over time as traded goods markets become...

We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active asset allocation to an equilibrium analysis. In this framework, investors combine a common core portfolio with an active investment in their home asset. In equilibrium, the core...

In this paper, we present novel data from the German-speaking area on 13,422 venture capital investments between 1999 and 2019, and document a novel and yet unexplained contributor to investors' home bias. We propose a new measure of regional identity based on a recent vehicle license plate...

The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors' decisions (behavior and psychology). We use frequency-time bands and multi-scale-based wavelet...

We examine the pattern of allowance trades in the European Union Emissions Trading System (EU ETS) using highly disaggregated trading data and identify a significant and robust home market bias. Our results point to informational transactions costs that increase when trading across national...

Purpose This study investigates the effect of global and domestic uncertainty on the dynamics of portfolio investment in 21 economies (mostly advanced and larger emerging economies) from 2001-2016. Design/methodology/approach Specifically, the evolution of the net portfolio equity investment...

Globally, financial institutions have increased their holdings of domestic sovereign debt, tightening the linkage between the health of the financial system and the level of sovereign debt, or the "financial sector-sovereign nexus," during the ongoing COVID-19 pandemic. In South Africa, the...

This paper examines the well-known home bias puzzle in international finance by exploiting the cross-sector variation. Using unique financial datasets, I calculate a sectoral home bias index that covers 27 industries in 43 countries, which enables empirical and theoretical analysis of the puzzle...

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...

This paper examines the relationship between overconfidence and losses from under-diversification among Dutch investors. We find that a lack of proper portfolio diversification is positively associated with overconfidence. Part of this relationship is mediated through the lower propensity of...

This paper experimentally tests the Fox-Tversky (1995) source preference hypothesis as axiomatized in Chew and Sagi (2008) where people may have preference between equally distributed risks depending on the underlying sources of uncertainty. We study two forms of source preference. One is based...

This paper examines the relationship between overconfidence and losses from under-diversification among Dutch investors. We find that a lack of proper portfolio diversification is positively associated with overconfidence. Part of this relationship is mediated through the lower propensity of...

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...

Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out that current research focused rarely on portfolio...

Since the European debt crisis economists and politicians discuss intensively the sovereign-bank nexus. The high activity in sovereign bond issuance required to mitigate the burden of the Covid19 crisis will rather intensify this debate than calm it down. Surprisingly, however, we still have...

Using data on angler choices from the Marine Recreational Information Program (MRIP) of the National Oceanic Atmospheric Administration (NOAA), we demonstrate a level of racial aversion in which anglers are less likely to fish from a site with larger black and Hispanic population proportions...

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on...

This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...

It is known that investors over-invest in "home" assets. Yet, there is much debate on whether superior information or sentiment drives this behavior. Using the sports-betting market as a real-market laboratory, we find individuals exhibit a bias toward home-team wagers, which does not yield...

The residence-based framework of measuring international exposure is increasingly less informative, as a growing number of firms locate in low-tax jurisdictions and issue securities through offshore subsidiaries. This has clouded the view of capital flows and investor exposures from standard...

The under-performance of mergers and acquisitions (M&As) resulting from impairment of goodwill is of great interest to regulators and investors. This study investigates the performance of M&As from the perspective of home bias. The results indicate that (1) Post-merger performance is worse when...

Based on a sample of 114,098 investments committed by 12,258 limited partners into 20,473 private equity funds, we study an international home bias in fund manager selection in private equity. We find that limited partners overweigh their investments with fund managers domiciled in the same...

Hedge Ratio Variation under Different Energy Market Conditions: New Evidence by Using Quantile-Quantile Approach -- The Use of AI in Metaverse -- What Proportion of the Bitcoin Ecosystem is Controlled by Bots? -- Exploring the Impact of Corporate Social Responsibility on Leverage of Listed...