کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961483 | 929858 | 2010 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International asset allocation for incompletely-informed investors
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study explains the home bias puzzle by examining the effect of information quality on the asset allocation decisions. Our calibration results based on MSCI data indicate that in order to hedge for the changing quality of the information, when updating their estimates of expected returns of foreign assets, those agents who are partially informed and relatively more conservative will tend to hold fewer foreign assets than completely-informed agents. Furthermore, the magnitude of home bias in the portfolio of partially-informed agents decreases with the precision of their estimates and the instantaneous correlation between the returns of the home and foreign assets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 4, November 2010, Pages 422-447
Journal: Journal of Financial Markets - Volume 13, Issue 4, November 2010, Pages 422-447
نویسندگان
Yin-Feng Gau, Mingshu Hua, Wen-Lin Wu,