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Author : Fang Cai,Francis E. Warnock
Publisher : Unknown
Page : 0 pages
File Size : 49,8 Mb
Release : 2004
Category : Electronic
ISBN : OCLC:249629697
Author : Feng Cai
Publisher : Unknown
Page : 44 pages
File Size : 48,9 Mb
Release : 2004
Category : Investments, Foreign
ISBN : UCR:31210019509049
Author : Mr.Charles Engel,Mr.Akito Matsumoto
Publisher : International Monetary Fund
Page : 49 pages
File Size : 48,5 Mb
Release : 2009-01-01
Category : Business & Economics
ISBN : 9781451871593
This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.
Author : Alan M. Rugman
Publisher : Lexington, Mass. ; Toronto : Heath
Page : 168 pages
File Size : 47,9 Mb
Release : 1979
Category : International business enterprises
ISBN : UCSC:32106005098378
Author : Alicia García-Herrero,Francisco F. Vázquez
Publisher : International Monetary Fund
Page : 36 pages
File Size : 44,7 Mb
Release : 2007-12
Category : Business & Economics
ISBN : UCSD:31822036950608
This paper assembles a bank-level dataset covering the operations of 38 international banks from eight industrial countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversification gains from their local operations abroad. The paper finds that international banks with a larger share of assets allocated to foreign subsidiaries, particularly to those located in emerging market countries, are able to attain higher risk-adjusted returns. These gains are somewhat reduced- but by no means depleted-when international banks concentrate their subsidiaries in specific geographical regions. The paper also finds a substantial home bias in the international allocation of bank assets, relative to the results of a mean-variance portfolio optimization model. Overall, international diversification gains in banking appear to be substantial, albeit largely unexploited by current bank expansion strategies. These results suggest that international diversification gains could usefully be considered in the second pillar of Basel II as the first pillar is based only on the idiosyncratic risk of recipient countries.
Author : Helena Kleinert
Publisher : Unknown
Page : 135 pages
File Size : 52,5 Mb
Release : 2016
Category : Electronic
ISBN : 3896737163
Author : Tatsushi Okuda,Tomohiro Tsuruga
Publisher : International Monetary Fund
Page : 50 pages
File Size : 40,7 Mb
Release : 2024-03-08
Category : Business & Economics
ISBN : 9798400269530
This paper applies the two-country open-economy model with trade in stocks and bonds of Coeurdacier et al. (2010) to quantify the loss of international diversification benefits for major advanced economies, which have a significant presence in international financial markets, under geoeconomic fragmentation. We perform counterfactual simulations under different hypothetical fragmentation scenarios in which these economies are unable to trade with geopolitically distant countries, as measured by voting disagreement on foreign policy issues at the United Nations General Assembly meetings during 2012-2021. The simulation results imply a potentially significant loss of international diversification benefits of financial openness for the considered advanced economies by limiting trading to partner countries that are geopolitical allies with highly synchronized business cycles.
Author : Jonathan Heathcote,Fabrizio Perri
Publisher : Unknown
Page : 60 pages
File Size : 43,6 Mb
Release : 2007
Category : International trade
ISBN : PSU:000062566414
Abstract : In simple one-good international macro models, the presence of non-diversifiable labor income risk means that country portfoliosshould be heavily biased toward foreign assets. The fact that the opposite pattern of diversification is observed empirically constitutes the international diversification puzzle. We embed a portfolio choice decision in a frictionless two-country, two-good version of the stochastic growth model. In this environment, which is a workhorse for international business cycle research, we derive a closed-form expression for equilibrium country portfolios. These are biased towards domestic assets, as in the data. Home bias arises because endogenous international relative price fluctuations make domestic stocks a good hedge against non-diversifiable labor income risk. We then use our our theory to link openness to trade to the level of diversification, and find that it offers a quantitatively compelling account for the patterns of international diversification observed across developed economies in recent years.
Author : Fang Cai
Publisher : Unknown
Page : 48 pages
File Size : 49,8 Mb
Release : 2016
Category : Electronic
ISBN : OCLC:1306165686
We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that investors might obtain substantial international diversification by investing at home. Using an international factor model, we show that exposure to foreign equity markets is indeed greater for domestic firms that are more diversified internationally, suggesting that at least some of the home-grown foreign.
Author : H. Kent Baker,John R. Nofsinger
Publisher : John Wiley & Sons
Page : 773 pages
File Size : 52,7 Mb
Release : 2010-10-05
Category : Business & Economics
ISBN : 9780470499115
A definitive guide to the growing field of behavioral finance This reliable resource provides a comprehensive view of behavioral finance and its psychological foundations, as well as its applications to finance. Comprising contributed chapters written by distinguished authors from some of the most influential firms and universities in the world, Behavioral Finance provides a synthesis of the most essential elements of this discipline, including psychological concepts and behavioral biases, the behavioral aspects of asset pricing, asset allocation, and market prices, as well as investor behavior, corporate managerial behavior, and social influences. Uses a structured approach to put behavioral finance in perspective Relies on recent research findings to provide guidance through the maze of theories and concepts Discusses the impact of sub-optimal financial decisions on the efficiency of capital markets, personal wealth, and the performance of corporations Behavioral finance has quickly become part of mainstream finance. If you need to gain a better understanding of this topic, look no further than this book.
Author : Irem Demirci,Miguel A. Ferreira,Pedro Matos,Clemens Sialm
Publisher : Unknown
Page : 0 pages
File Size : 43,8 Mb
Release : 2020
Category : Electronic
ISBN : OCLC:1194662852
We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. An average domestic fund's international exposure increases by 32 percentage points when we consider international corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross section and the time series. This outperformance is more pronounced among small fund families, and funds that invest in small stocks, growth stocks, and less developed capital markets. Our findings support the hypothesis that international diversification from multinationals reduces the transaction and information costs of investing abroad and captures fund manager skill.
Author : Imad A. Moosa,Vikash Ramiah
Publisher : Springer
Page : 174 pages
File Size : 44,5 Mb
Release : 2017-10-25
Category : Business & Economics
ISBN : 9783319693897
This book provides a concise analysis of behavioural biases and their implications for financial decision making. The book is written in the normative tradition, arguing strongly for the superiority of behavioural finance with respect to explaining observed phenomena in financial markets. It offers some unique features, including a discussion of the issue of conspiracy theory and how behavioural biases lead to belief in conspiracy theories. Lingering belief in the principles of neoclassical finance is attributed in part to the doctrine of publish or perish, which dominates contemporary academia. The offshoots of behavioural finance are discussed in detail, including ecological finance, environmental finance, social finance, experimental finance, neurofinance, and emotional finance. A comprehensive discussion of narcissism is presented where it is demonstrated that narcissistic behaviour is prevalent in the finance industry and that it led to the eruption of the global financial crisis.
Author : Amir Andrew Amadi
Publisher : Unknown
Page : 226 pages
File Size : 47,7 Mb
Release : 2004
Category : Electronic
ISBN : UCAL:X69684
Author : A. M. Findlay,Leigh Sparks
Publisher : Taylor & Francis
Page : 520 pages
File Size : 49,8 Mb
Release : 2002
Category : Business & Economics
ISBN : 041526037X
Author : Kavous Ardalan
Publisher : Routledge
Page : 230 pages
File Size : 41,9 Mb
Release : 2019-05-17
Category : Business & Economics
ISBN : 9781000001433
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.