determinants of international portfolio holdings and home bias
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determinants of international portfolio holdings and home bias by Hamid Faruqee

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Published by International Monetary Fund, Research Dept. in Washington, D.C .
Written in English

Subjects:

  • Investments, Foreign -- Econometric models.,
  • Portfolio management -- Econometric models.,
  • Transaction costs -- Econometric models.

Book details:

Edition Notes

StatementHamid Faruqee, Shujing Li, and Isabel K. Yan.
SeriesIMF working paper -- WP/04/34
ContributionsLi, Shujing., Yah, Isabel K., International Monetary Fund. Research Dept.
The Physical Object
Pagination25 p. :
Number of Pages25
ID Numbers
Open LibraryOL19614384M

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Despite the liberalization of foreign portfolio investment around the globe since the early s, 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. The Determinants of International Portfolio Holdings and Home Bias 2 1. Introduction Theories of cross-border portfolio holdings are challenged by the “home bias” puzzle1, which refers to the fact that domestic investors hold too little of their wealth in foreign assets as compared to the predictions of standard portfolio the-ory. The Determinants of International Portfolio Holdings and Home Bias Prepared by Hamid Faruqee, Shujing Li, and Isabel K. Yan1 Authorized for distribution by Tamim Bayoumi February Abstract This Working Paper should not be reported as representing the views of the IMF. Request PDF | The Determinants of International Portfolio Holdings and Home Bias | Despite the liberalization of foreign portfolio investment around the globe since the early s, the home-bias.

The Determinants of International Portfolio Holdings and Geographical Bias Article in SSRN Electronic Journal January with 14 Reads How we measure 'reads'. The Economic Determinants of the Home Country Bias in Investors' Portfolios: A Survey we survey the international portfolio choice literature to investigate why investors choose to bias their portfolios towards domestic equity, even though there are significant gains to diversifying internationally. to see if transactions costs for. The Degree of Home Bias in the Holding of Share Portfolio: Case of American Investors: /ch The objective of this paper is to measure the degree of Home Bias within the holdings of portfolio and to identify their determining factors. By following an. The objective of this paper is to measure the degree of Home Bias within the holdings of portfolio and to identify their determining factors. By following an intuitive reasoning, the authors have chosen a number of susceptible factors that have an impact on Home Bias. In fact, they have developed an international CAPM (Capital Asset Pricing Model).

Get this from a library! The determinants of international portfolio holdings and home bias. [Hamid Faruqee; Shujing Li; Isabel K Yan; International Monetary Fund. Research Department,] -- Despite the liberalization of foreign portfolio investment around the globe since the early s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of. Home Bias in International Equity Portfolios: a Review 5 Dahlquist, Pinkowitz, Stulz and Williamson () argue that the deflnition of the equity home bias as the difierence between the proportional domestic equity investments and the proportional market capitalization { the benchmark portfolio of the model-based approach {is incorrect. Over the past decades, there is an increased trend in the international financial integration as countries are removing and relaxing controls on cross-border investment. Capital can flow easily to the destination that offers higher returns as the results of decreasing obstacles to international investment. However, despite well documented gains from international diversification, investors. The Determinants of International Portfolio Holdings and Geographical Bias2 1. Introduction The most prominent characteristic of international portfolio holdings is the “home-bias puzzle”, which refers to the stylized fact that investors hold far too high a share of their wealth in domestic securities compared with the optimal share.