Home Bias In International Equity Portfolios
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Home Bias In International Equity Portfolios
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Author : Piet Sercu
language : en
Publisher:
Release Date : 2007
Home Bias In International Equity Portfolios written by Piet Sercu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
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 Equity Home Bias Puzzle
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Author : Ian Cooper
language : en
Publisher:
Release Date : 2013
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 with International finance categories.
Home bias - the empirical phenomenon that investors assign anomalously high weights to their own domestic assets - has puzzled academics for decades: financial theory predicts that an internationally well diversified portfolio of stocks and short-term bonds can reduce risk significantly without affecting expected return. Although the globalization of international equity markets has increased international investments, equity portfolios remain severely home biased today, and no single explanation seems to solve the puzzle completely. In this paper, we first provide a thorough description of the equity home bias phenomenon by defining, discussing, and applying the competing measures and presenting some estimates of the costs of under-diversification. Second, we evaluate the explanations for the equity home bias proposed in the literature such as information asymmetries, behavioral aspects, barriers to foreign investment, and governance issues, and conclude that each explanation on its own falls short, suggesting that the equity home bias probably reflects a combination of factors. Lastly, we review the implications of international under-diversification for portfolio formation and the cost of capital of companies.
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.
International Home Bias In International Finance And Business Cycles
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Author : Karen K. Lewis
language : en
Publisher:
Release Date : 1998
International Home Bias In International Finance And Business Cycles 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 1998 with Business cycles categories.
Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest. This phenomenon has been called equity home bias. In the absence of this home bias, investors would optimally diversify away domestic output risk. Therefore, in a world without investor home bias, consumption growth rates would tend to comove across countries even when output growth rates do not. Empirically, however, consumption growth rates tend to have a lower correlation across countries than do output growth rates. Moreover, consumption growth in each country appears to be highly correlated with its own output growth relative to the world. This phenomenon may be called consumption home bias. In this paper, I evaluate existing explanations for these two types of home bias.
Why Is There A Home Bias
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Author : Jun-Koo Kang
language : en
Publisher:
Release Date : 1996
Why Is There A Home Bias written by Jun-Koo Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Investments, Foreign categories.
Goods Trade And International Equity Portfolios
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Author : Fabrice Collard
language : en
Publisher:
Release Date : 2007
Goods Trade And International Equity Portfolios written by Fabrice Collard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with International trade categories.
We show that international trade in goods is the main determinant of international equity portfolios and offers a compelling -- theoretically and empirically -- resolution of the portfolio home bias puzzle. The model implies that investors can achieve full international risk diversification if the share of wealth invested in foreign equity matches their country's degree of openness (the imports to GDP share). The empirical evidence strongly supports this implication.
The Determinants Of International Portfolio Holdings And Home Bias
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Author : Shujing Li
language : en
Publisher: International Monetary Fund
Release Date : 2004-02
The Determinants Of International Portfolio Holdings And Home Bias written by Shujing Li 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 2004-02 with Business & Economics categories.
Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings. The empirical results show that an augmented gravity model performs remarkably well. The results indicate that market size, transaction cost, and information asymmetry are major determinants of cross-border portfolio choice. These findings shed light on alternative theories of international portfolio holdings, especially on the transaction and information cost-based explanations of home bias.
Home Sweet Home
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Author : Anders Karlsson
language : en
Publisher:
Release Date : 2007
Home Sweet Home written by Anders Karlsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
A striking feature of international portfolio investment is the extent to which equity portfolios are concentrated in the domestic market of the investor. Many authors have tried to explain this home bias, but so far, this literature has not succeeded in providing a generally accepted explanation for it. Also, there are no previous results regarding home bias on an individual level, i.e. what characterises an individual who show a relatively large reluctance towards international diversification and investments. The purpose of this study is to investigate whether there is a home bias in the portfolios of mutual funds, which are formed as a part of the pension plan in Sweden. While controlling for several reasons for home bias which are found in the previous research, as e.g. transactions costs and risk level of investments, this study analyses the nature of portfolio allocation and the home bias on an individual investor basis. A multinomial logit model is formulated to estimate the likelihood of home bias, where demographical features of the individuals are used as explanatory variables. The results show several significant, statistically and economically, relationships between individual characteristics and the likelihood of home bias. In particular, age, gender, net wealth, occupation and familiarity with risky investments are important. The type of individual with the highest likelihood of home bias is identified as a not so wealthy older man, who works for the government and holds no other risky assets.
Equity Home Bias
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Author : Adam Hantak
language : en
Publisher: diplom.de
Release Date : 2011-10-20
Equity Home Bias written by Adam Hantak and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-20 with Business & Economics categories.
Inhaltsangabe:Introduction: Every investor faces the challenge of making the right investment decisions. Upon analysing the allocation of wealth among countries, it becomes evident that investors do not invest their financial wealth internationally, but tend to invest the majority of their wealth in domestic equity. Financial theory deems this behaviour irrational, since holding a domestic portfolio is considered to be suboptimal due to the foregone benefits of international diversification. Assuming that the financial theory is right in this prediction, the question as to what are the causes for this irrational behaviour comes to mind and forms the focal point of this work. One the one hand, investors may be well aware of the costs connected with holding a domestic portfolio. Market restrictions, however, do not allow investors to attain the optimal international portfolio. On the other hand, investors may be unaware of the benefits of international diversification, and instead have a preference for domestic equity and fail to perceive the domestic portfolio as suboptimal. The traditional financial theory for this behaviour provides the institutional explanations with the focus on market imperfections and the behavioural financial theory provides explanations with the focus on investor irrationality. Following this classification of both theories, this work briefly reviews institutional explanations, as many of them lack empirical evidence and concentrates mainly on the behavioural explanations, as they are the focal point of current research and find wide empirical support. After defining equity home bias and related concepts in Chapter 2, the costs of equity home bias are discussed in Chapter 3. In Chapter 4, institutional explanations are considered. Section 4.1 reviews briefly a number of older institutional explanations, such as direct investment barriers, transactions costs and taxes, as they do not find much empirical support. Section 4.2 explores in more detail an explanation based on information asymmetry, as it may at least partially contribute to the solution of the home bias problem. With the emergence and acceptance of behavioural finance new explanations based on irrationality of investors were advanced and are presented in Chapter 5. Section 5.1 explores optimistic expectations about domestic markets as one of the early behavioural explanations. Section 5.2 deals with the competence hypothesis and creates a foundation for the [...]