Cross-border equity portfolio choices and the diversification motive: A fractional regression approach

Filippo Maria Pericoli, E. Pierucci and Luigi Ventura

Economics Letters, 2013, vol. 121, issue 2, 282-286

Abstract: Using a panel fractional regression model to evaluate the determinants of shares of international investment positions, we find some strong empirical support to the claim that a diversification motive is relevant. It turns out that less synchronized economies attract larger portfolio investment shares. The utmost relevance of trade relationships among countries in shaping international investment positions is also confirmed.

Keywords: Portfolio choice; Risk sharing; Fractional regression models (search for similar items in EconPapers)
JEL-codes: F21 G11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:282-286

DOI: 10.1016/j.econlet.2013.08.026

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