The international diversification puzzle is not worse than you think

Christian Julliard

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how, once the misspecification is corrected, the results are reverted: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it.

JEL-codes: F30 G11 G12 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2002-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://eprints.lse.ac.uk/4814/ Open access version. (application/pdf)

Related works:
Working Paper: The international diversification puzzle is not worse than you think (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:4814

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().