کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964388 930518 2007 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Model uncertainty, financial market integration and the home bias puzzle
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Model uncertainty, financial market integration and the home bias puzzle
چکیده انگلیسی

This paper investigates to what extent ongoing integration has eroded the equity home bias. To measure home bias, we compare observed foreign asset holdings of 25 markets with optimal portfolio weights obtained from five benchmark models. The International CAPM optimal weights equal the relative world market capitalization shares. Alternative models that allow for various degrees of mistrust in the I-CAPM and involve returns data in computing optimal weights indicate a substantially lower yet positive home bias. For many countries, home bias decreases sharply at the end of the 1990s, a development which we link to time-varying globalization and regional integration.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 26, Issue 4, June 2007, Pages 606–630
نویسندگان
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