International diversification puzzle home bias in countries investment portfolios.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: HELENA KLEINERT
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [S.l.] : DUNCKER & HUMBLOT, [2016]
Colección:Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim.
Temas:
Investments, Foreign.
Portfolio management.
Investissements étrangers.
Gestion de portefeuille.
Investments, Foreign
Portfolio management
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Intro
  • Preface
  • Table of Contents
  • List of Figures
  • List of Tables
  • Abbreviations
  • Country Abbreviations
  • Variables and Indices
  • Introduction
  • A. Home Bias in International Investment Portfolios
  • A Literature Review
  • 1. Introduction
  • 2. International Diversification and Home Bias in Portfolio Allocation
  • 2.1 Gains from International Diversification
  • 2.2 Empirical Evidence of the Home Bias
  • 2.3 Measuring Home Bias in international portfolio allocation
  • 3. Calculation optimal portfolio weights
  • 3.1 Classical Mean-Variance Portfolio Model
  • 3.2 International Capital Asset Pricing Model
  • 3.3 Bayesian Portfolio Weights
  • 3.4 Gravity Model Approach
  • 3.5 Discussion of the optimization frameworks
  • 4. Potential Explanations for the Home Bias
  • 4.1 Institutional Perspective
  • 4.1.1 Overview
  • 4.1.2 Transaction Costs
  • 4.1.3 Hedging of domestic risk
  • 4.1.4 Information asymmetry
  • 4.1.5 Corporate Governance
  • 4.2 Behavioral Perspective
  • 4.2.1 Overview
  • 4.2.2 Relative Optimism
  • 4.2.3 Overconfidence and investor's competence
  • 4.2.4 Herding
  • 4.2.5 Familiarity
  • 4.3 Discussion of the explanation attempts
  • 5. Conclusion
  • B. Cultural Influences on Domestic and Foreign Bias in International Asset Allocation
  • 1. Introduction
  • 2. Data and Placement in Literature
  • 2.1 Data
  • 2.2 Placement in Literature
  • 3. Calculation of the dependent variables
  • 4. Explanatory Variables and Regression Framework
  • 4.1 Explanatory Variables
  • 4.2 Regression Framework
  • 5. Empirical Results
  • 5.1 Results for the Domestic Bias
  • 5.2 Results for the Foreign Bias
  • 5.3 Robustness Test
  • 5.3.1 Additional Country Controls
  • 5.3.2 Income Analysis
  • 5.3.3 Geographic Analysis
  • 5.3.4 Financial Crisis
  • 6. Conclusion
  • C. Is increasing Financial Integration related to improved International Risk Sharing?
  • 1. Introduction
  • 2. Data
  • 3. Theoretical Background and Placement and Literature
  • 3.1 International Portfolio Holdings and the Equity Home Bias
  • 3.2 International Risk Sharing
  • 3.2.1 Theory
  • 3.2.2 Measuring International Risk Sharing and empirical evidence
  • 4. Patterns of Risk Sharing and International Asset Positions
  • 4.1 Channels of Risk Sharing
  • 4.2 The Increase in International Risk Sharing and the growth in Gross International Asset Positions
  • 4.2.1 International financial integration proxied by the Equity Home Bias
  • 4.2.2 International Financial Integration proxied by Foreign Equity Holdings to GDP
  • 5. Conclusion
  • Summary
  • References

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