The International Diversification Puzzle: Home Bias in Countries’ Investment Portfolios
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Beschreibung
This work analyzes determinants of portfolio decisions in the context of cross-country diversification, which cause significant overweighting of the respective domestic market. By amending traditional determinants with cross-cultural variables, this work enhances current insights on the home bias phenomena.
In addition, the study sheds light on the capital market anomaly in the context of consumption risk and documents that the increasing importance of foreign positions in international investment portfolios improves international consumption risk sharing among economies.
Autor*in
Helena Kleinert
Themen in »The International Diversification Puzzle: Home Bias in Countries’ Investment Portfolios«
International Capital Asset Pricing Model Risk Sharing International Investment Portfolio Classical Mean-Variance Portfolio Model Foreign Bias Home Bias Gravity Model Bayesian Portfolio Domestic Bias