Do Nontraded Goods Explain The Home Bias Puzzle
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Do Nontraded Goods Explain The Home Bias Puzzle
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Author : Paolo A. Pesenti
language : en
Publisher:
Release Date : 2010
Do Nontraded Goods Explain The Home Bias Puzzle written by Paolo A. Pesenti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Interpretations of the home bias puzzle in international finance have fre- quently focused on the role of fluctuations in domestic nontraded output, through their effects on the marginal utility of tradables consumption. This paper assesses the empirical evidence of this aproach, by deriving an explicit solution for the optimal international portfolio and applying the model to a set of fourteen OECD countries. Computing asset returns according to a `fundamentals' approach, it is possible to account for an average gap of no more than 10-15 percantage points between estimated domestic ownership shares and domestic shares under full diversification. When stock-market data are directly used, the predicted coefficient of home bias shrinks to 3%.
Do Nontraded Goods Explain The Home Bias Puzzle
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Author : Paolo A. Pesenti
language : en
Publisher:
Release Date : 1996
Do Nontraded Goods Explain The Home Bias Puzzle written by Paolo A. Pesenti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital movements categories.
Interpretations of the home bias puzzle in international finance have fre- quently focused on the role of fluctuations in domestic nontraded output, through their effects on the marginal utility of tradables consumption. This paper assesses the empirical evidence of this aproach, by deriving an explicit solution for the optimal international portfolio and applying the model to a set of fourteen OECD countries. Computing asset returns according to a `fundamentals' approach, it is possible to account for an average gap of no more than 10-15 percantage points between estimated domestic ownership shares and domestic shares under full diversification. When stock-market data are directly used, the predicted coefficient of home bias shrinks to 3%.
Nontraded Goods Nontraded Factors And International Non Diversification
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Author : Marianne Baxter
language : en
Publisher:
Release Date : 1995
Nontraded Goods Nontraded Factors And International Non Diversification written by Marianne Baxter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Consumer goods categories.
Can the presence of nontraded consumption goods explain the high degree of 'home bias' displayed by investor portfolios? We find that the answer is no, so long as individuals have access to free international trade in financial assets. In particular, it is never optimal to exhibit home bias with respect to domestic traded-good equities. By contrast, an optimal portfolio may exhibit substantial home bias with respect to nontraded-good equities, although this result requires a very low degree of substitution between traded and nontraded goods in the utility function. Further, our analysis uncovers a second puzzle: the composition of investors' portfolios appears to be strongly at variance with the predictions of the model that incorporates nontraded goods.
The Equity Home Bias Puzzle
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Author : Ian Cooper
language : en
Publisher:
Release Date : 2013-12-01
The Equity Home Bias Puzzle written by Ian Cooper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-01 with Business & Economics categories.
After an introduction, this book defines the equity home bias puzzle and explains why it is important. It also reviews the two main methods used to quantify equity home bias, the positive and normative approaches, and shows how alternative home bias measures can be constructed using variations or combinations of these two methods.
Handbook Of International Economics
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Author : G.M. Grossman
language : en
Publisher: Elsevier
Release Date : 1997-10-24
Handbook Of International Economics written by G.M. Grossman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-10-24 with Business & Economics categories.
Handbook of International Economics
Handbook Of International Economics
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Author : Ronald Winthrop Jones
language : en
Publisher: Elsevier
Release Date : 1984
Handbook Of International Economics written by Ronald Winthrop Jones and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Business & Economics categories.
"This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior."--Publisher's information
Equity Home Bias In International Finance
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Author : Kavous Ardalan
language : en
Publisher: Routledge
Release Date : 2019-05-17
Equity Home Bias In International Finance written by Kavous Ardalan and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-17 with Business & Economics categories.
This book provides a comprehensive and critical analysis of research outcomes on the equity home bias puzzle – that people overinvest in domestic stocks relative to the theoretically optimal investment portfolio. It introduces place attachment – the bonding that occurs between individuals and their meaningful environments – as a new explanation for equity home bias, and presents a philosophically multi-paradigmatic view of place attachment. For the first time, a comprehensive and up-to-date review of the extant literature is provided, demonstrating that place attachment is a contributing factor to 22 different topics in which variations of home bias are present. The author also analyses the social-psychological underpinnings of place attachment, and considers the effect of multi-culturalism on the future of equity home bias. The book’s unique approach discusses the issues in conceptual terms rather than through data and statistical methods. This multi- and inter-disciplinary book is an invaluable resource for graduate students and researchers interested in economics, finance, philosophy, and/or methodology, introducing them to a new line of research.
The International Diversification Puzzle When Goods Prices Are Sticky
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Author : Mr.Charles Engel
language : en
Publisher: International Monetary Fund
Release Date : 2009-01-01
The International Diversification Puzzle When Goods Prices Are Sticky written by Mr.Charles Engel and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-01 with Business & Economics categories.
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.
Puzzles In International Financial Markets
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Author : Karen K. Lewis
language : en
Publisher:
Release Date : 1994
Puzzles In International Financial Markets written by Karen K. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Foreign exchange rates categories.
This paper presents a survey of two basic puzzles in international finance. The first puzzle is the `predictable excess return puzzle.' The returns on foreign currency deposits relative to domestic currency deposits should be equalized based upon uncovered interest parity. However, not only do researchers find that deviations from uncovered interest parity are predictable ex ante, but their variance exceeds the variance in expected exchange rate changes. In the paper, I describe different explanations of this phenomenon including the view that excess returns are driven by a foreign exchange risk premium, peso problems or learning, and market inefficiencies. While the research to date has been able to better define the `predictable excess return puzzle' and to suggest the most likely directions for future progress, no one explanation has provided a full answer to the puzzle. The second puzzle is the `home bias puzzle.' Empirical evidence shows that domestic residents do not diversify sufficiently into foreign stocks. This evidence is clear whether looking at models based on portfolio holdings or outcomes of consumption realizations across countries. In this paper, I examine several possible explanations including non-traded goods and market inefficiencies, although even after considering these possibilities, the puzzle remains.
Preparing For The Worst
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Author : Hrishikesh (Rick) D. Vinod
language : en
Publisher: John Wiley & Sons
Release Date : 2004-11-11
Preparing For The Worst written by Hrishikesh (Rick) D. Vinod and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-11 with Business & Economics categories.
A timely approach to downside risk and its role in stock market investments When dealing with the topic of risk analysis, most books on investments treat downside and upside risk equally. Preparing for the Worst takes an entirely novel approach by focusing on downside risk and explaining how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market, the authors describe how existing theories miss the downside and follow with explanations of how it can be included. Various techniques for calculating downside risk are demonstrated. This book presents the latest ideas in the field from the ground up, making the discussion accessible to mathematicians and statisticians interested in applications in finance, as well as to finance professionals who may not have a mathematical background. An invaluable resource for anyone wishing to explore the critical issues of finance, portfolio management, and securities pricing, this book: Incorporates Value at Risk into the theoretical discussion Uses many examples to illustrate downside risk in U.S., international, and emerging market investments Addresses downside risk arising from fraud and corruption Includes step-by-step instructions on how to implement the methods introduced in this book Offers advice on how to avoid pitfalls in calculations and computer programming Provides software use information and tips