The Determinants Of International Portfolio Holdings And Geographical Bias PDF Download
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| Author | : Shujing Li |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download The Determinants of International Portfolio Holdings and Geographical Bias Book in PDF, ePub and Kindle
This paper employs a unique cross-border equity position dataset from the IMF to investigate the determinants of international portfolio holdings in a wide range of countries. It is observed that, besides the home bias phenomenon, there is considerable geographical bias in the cross-border portfolio holdings - investors tend to hold more securities in countries closer to them in distance. We estimate that if the distance between two counties doubles the cross-border equity holdings are reduced by 68%. This paper first derives structural equations from a consumption-based asset pricing model and then applies them to analyze the effect of distance, information and transaction costs on international portfolio holdings. The results indicate that, by explicitly introducing information and transaction costs into the model, the heterogeneity of cross-border holdings and a great part of the home bias puzzle can be explained.
| Author | : Shujing Li |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2004-02 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Determinants of International Portfolio Holdings and Home Bias Book in PDF, ePub and Kindle
Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, 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. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings. The empirical results show that an augmented gravity model performs remarkably well. The results indicate that market size, transaction cost, and information asymmetry are major determinants of cross-border portfolio choice. These findings shed light on alternative theories of international portfolio holdings, especially on the transaction and information cost-based explanations of home bias.
| Author | : |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2004 |
| Genre | : Investments, Foreign |
| ISBN | : |
Download The Determinants of International Portfolio Holdings and Home Bias Book in PDF, ePub and Kindle
| Author | : H. Farqee |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download The Determinants of International Portfolio Holding and Home Bias Book in PDF, ePub and Kindle
| Author | : Hamid Faruqee |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download The Determinants of International Portfolio Holdings and Home Biasmarkets Book in PDF, ePub and Kindle
| Author | : Jun-Koo Kang |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 1995 |
| Genre | : Capital market |
| ISBN | : |
Download Why is There a Home Bias? Book in PDF, ePub and Kindle
This paper uses data on foreign stock ownership in Japan from 1975 to 1991 to examine the determinants of the home bias in portfolio holdings. Existing models of international portfolio choice predicting that foreign investors hold national market portfolios or portfolios tilted towards high expected return stocks are inconsistent with the evidence provided in this paper. We document that foreign investors overweight shares of firms in manufacturing industries, large firms, firms with good accounting performance, firms with low unsystematic risk, and firms with low leverage. Controlling for size, there is evidence that small firms that export more have greater foreign ownership. Foreign investors do not perform significantly worse than if they held the Japanese market portfolio, however. After controlling for firm size, there is no evidence that foreign ownership is related to expected returns of shares. We show that a model with size-based informational asymmetries and deadweight costs can yield asset allocations consistent with our evidence.
| Author | : Axel Jochem |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2011 |
| Genre | : |
| ISBN | : 9783865586988 |
Download Portfolio Holdings in the Euro Area Book in PDF, ePub and Kindle
| Author | : Richard Portes |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2000 |
| Genre | : Capital movements |
| ISBN | : |
Download The Determinants of Cross-border Equity Flows Book in PDF, ePub and Kindle
We apply a new approach to a new panel data set on bilateral gross cross-border equity flows between 14 countries, 1989-96. The model integrates elements of the finance literature on portfolio composition and the international macroeconomics and asset trade literature. Gross asset flows depend on market size in both source and destination country as well as trading costs, in which both information and the transaction technology play a role. Distance proxies some information costs, and other variables explicitly represent information transmission, an information asymmetry between domestic and foreign investors, and the efficiency of transactions. The remarkably good results have strong implications for theories of asset trade. We find that the geography of information is the main determinant of the pattern of international transactions, while there is little support in our data for diversification and return-chasing motives for transactions."--Authors.
| Author | : |
| Publisher | : Fundacion BBVA |
| Total Pages | : 71 |
| Release | : |
| Genre | : |
| ISBN | : |
Download The The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality Book in PDF, ePub and Kindle
| Author | : Kavous Ardalan |
| Publisher | : Routledge |
| Total Pages | : 393 |
| Release | : 2019-05-17 |
| Genre | : Business & Economics |
| ISBN | : 1000008274 |
Download Equity Home Bias in International Finance Book in PDF, ePub and Kindle
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.
