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Revisiting The Home Bias Puzzle Downside Equity Risk
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Book Synopsis Revisiting the Home Bias Puzzle by : Rachel A.J. Pownall
Download or read book Revisiting the Home Bias Puzzle written by Rachel A.J. Pownall and published by . This book was released on 2011 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 international markets' returns over the last 34 years. Investors may think globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias phenomenon, documented in international financial markets.
Book Synopsis Revisiting the Home Bias Puzzle. Downside Equity Risk by : Rachel A. Campbell
Download or read book Revisiting the Home Bias Puzzle. Downside Equity Risk written by Rachel A. Campbell and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and Institutions by : Jakob de Haan
Download or read book Financial Markets and Institutions written by Jakob de Haan and published by Cambridge University Press. This book was released on 2015-06-18 with total page 557 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written for undergraduate and graduate students of finance, economics and business, the third edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial markets, financial infrastructures, financial institutions and the challenges of financial supervision and competition policy. The third edition features greater discussion of the financial and euro crises, including extensive analysis of their causes and impact, as well as their remedies. New material covers unconventional monetary policies, the Banking Union, the Basel 3 capital adequacy framework for banking supervision, macroprudential policies and state aid control applied to banks. The new edition also features wider international coverage, with greater emphasis on comparisons with countries outside the European Union. Visit the companion website at www.cambridge.org/de_Haan3e for password-protected PowerPoint lecture slides, solutions, figures and tables for instructors, and exercises for students.
Book Synopsis The Equity Home Bias Puzzle by : Ian Cooper
Download or read book The Equity Home Bias Puzzle written by Ian Cooper and published by . This book was released on 2013-12-01 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella
Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Book Synopsis The C.F.A. Digest by : Institute of Chartered Financial Analysts
Download or read book The C.F.A. Digest written by Institute of Chartered Financial Analysts and published by . This book was released on 2008 with total page 972 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis European Financial Markets and Institutions by : Jakob de Haan
Download or read book European Financial Markets and Institutions written by Jakob de Haan and published by Cambridge University Press. This book was released on 2009-01-15 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written for undergraduate and graduate students, this textbook provides a fresh analysis of the European financial system.
Book Synopsis Equity Home Bias in International Finance by : Kavous Ardalan
Download or read book Equity Home Bias in International Finance written by Kavous Ardalan and published by Routledge. This book was released on 2019-05-17 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Equity Home Bias and the Euro by : Hisham S. Foad
Download or read book Equity Home Bias and the Euro written by Hisham S. Foad and published by . This book was released on 2007 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines explanations for the equity home bias puzzle by utilizing the introduction of the euro in 1999 as a natural experiment. Equity home bias is the observation that although investors could attain both lower risk and greater returns by increasing international diversification in their equity portfolios, they fail to do so. Currency risk, informational asymmetries, transaction costs, and investor sentiment have all been presented as explanations for the bias with varying degrees of success. The introduction of the euro and the coordination of monetary policy across the Euro Area (EA) allows for a closer examination of these potential explanations. Optimal foreign equity shares are derived from a version of the CAP-M and then empirically tested using detailed data from the IMF's Coordinated Portfolio Investment Survey covering the foreign equity holdings of 23 countries for the years 1997 and 2001-2004. The key results of this analysis are that while equity home bias has fallen worldwide over this period, by far the sharpest drop has been for intra-EA equity holdings with home bias falling from 68% to 29% between the pre and post-euro periods. Several explanations for this drop are tested, with the reduction in information asymmetries emerging as the most promising candidate.
Download or read book Economie Internationale written by and published by . This book was released on 2010 with total page 678 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Home Bias Revisited by : Geert Bekaert
Download or read book Home Bias Revisited written by Geert Bekaert and published by . This book was released on 2011 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine a large number of potential home bias determinants, including some novel ones, using extensive panel data. We distinguish between the actual home bias (over investment in domestic securities) and foreign investment bias, for which we propose a new measure. For foreign investment bias, we also demonstrate how quot;size biasesquot; significantly affect the results. We find that the old empirical results based on the U.S. data alone do not generalize to the panel data set; information and familiarity variables and proxies for the degree of capital market openness play an important role in explaining both home and foreign investment biases.
Book Synopsis The Equity Home Bias Puzzle by : Ian Cooper
Download or read book The Equity Home Bias Puzzle written by Ian Cooper and published by . This book was released on 2013 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis What Explains Equity Home Bias? Theory and Evidence at the Sector Level by : Chenyue Hu
Download or read book What Explains Equity Home Bias? Theory and Evidence at the Sector Level written by Chenyue Hu and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the well-known equity home bias puzzle in international macroeconomics by exploiting the cross-sector variation. Combining unique financial datasets, I introduce a novel sectoral home bias index that covers 27 industries in 43 countries, which enables empirical and theoretical analysis of the puzzle in unprecedented detail. I uncover two stylized facts (1) sectoral home bias is stronger for nontradable sectors and in countries with a higher degree of capital restrictions, and (2) investors tilt portfolios more towards domestic assets for the sectors in which their countries reveal a comparative advantage. Motivated by these findings, I build a multi-sector model that incorporates transaction costs, information asymmetry, and risk-hedging motives in investors' portfolio choice. Moreover, I quantify the effects of these frictions on both sector- and country-level home bias in a calibrated DSGE model. This framework sheds light on the patterns and determinants of international financial investment.
Book Synopsis The Equity Home Bias Puzzle by : Felix Rebmann
Download or read book The Equity Home Bias Puzzle written by Felix Rebmann and published by . This book was released on 2014 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measures of Equity Home Bias Puzzle by : Anil V. Mishra
Download or read book Measures of Equity Home Bias Puzzle written by Anil V. Mishra and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops measures of home bias for 46 countries over the period 2001 to 2011 by employing various models: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM country portfolio weights are computed relative to world market capitalization. Bayesian model allows for various degrees of mis-trust in the ICAPM and Multi-Prior model's investors' ambiguity aversion. Mean-Variance computes optimal weights by sample estimates of mean and covariance matrix of sample return and Bayes-Stein improves precision associated with estimating the expected return of each asset. Paper finds that, for few countries, there is not much change in home bias measures using various models. Foreign listing, idiosyncratic risk, beta, inflation, natural resources rents, size, global financial crisis and institutional quality have significant impact on home bias. There are policy implications associated with home bias.
Book Synopsis Equity Home Bias in International Finance by : Colin Gilligan
Download or read book Equity Home Bias in International Finance written by Colin Gilligan and published by Routledge. This book was released on 2019-06-17 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and critical analysis of research outcomes on the equity home bias puzzle. It introduces "place attachment" as a new explanation for the "equity home bias" puzzle and looks to the future of place attachment and its effect on home bias. For the first time, a comprehensive and up-to-date review of the extant literature is provided. The author presents a philosophically multi-paradigmatic view of "place attachment" - the bonding that occurs between individuals and their meaningful environments. Offering an overview of the literature on 22 different topics in which variations of "home bias" are present, the author demonstrates that place attachment is a contributing factor to all of these. Finally, the author 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 using data and statistical methods. This book is both multi-disciplinary and inter-disciplinary, and therefore, it is an invaluable resource for graduate students and researchers who are interested in economics, finance, philosophy, and/or methodology, introducing them to a new line of research.
Book Synopsis Portfolio Choice, Behavioral Preferences and Equity Home Bias by :
Download or read book Portfolio Choice, Behavioral Preferences and Equity Home Bias written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a plausible explanation of aggregate portfolio behavior, in a framework where economic agents have behavioral (narrow framing) preferences. The representative agent derives utility not only from consumption (standard models) but also from risky financial wealth fluctuations. Moreover, the investor frames the stock market risk narrowly and has loss averse preferences. We numerically solve, for the foreign equity share, a simple model of international portfolio choice, providing a possible explanation for the equity home bias puzzle. Only economic agents able to process correctly information deriving from stock markets exploit the diversification opportunities provided by international financial markets.
