The International Diversification Puzzle: Home Bias in Countries’ Investment Portfolios, vol 53

Edited by Kleinert

in Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim from Duncker & Humblot GmbH, Berlin

Abstract: This work analyzes determinants of portfolio decisions in the context of cross-country diversification, which cause significant overweighting of the respective domestic market. By amending traditional determinants with cross-cultural variables, this work enhances current insights on the home bias phenomena. In addition, the study sheds light on the capital market anomaly in the context of consumption risk and documents that the increasing importance of foreign positions in international investment portfolios improves international consumption risk sharing among economies.

Keywords: Bayesian Portfolio; Classical Mean-Variance Portfolio Model; Domestic Bias; Foreign Bias; Gravity Model; Home Bias (search for similar items in EconPapers)
JEL-codes: E00 (search for similar items in EconPapers)
Date: 2020
Edition: 1
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Persistent link: https://EconPapers.repec.org/RePEc:dah:sskssk:vwpe716

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