Goods Trade and International Equity Portfolios
Fabrice Collard,
Harris Dellas (),
Behzad Diba and
Alan Stockman
No 13612, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We show that international trade in goods is the main determinant of international equity portfolios and offers a compelling -- theoretically and empirically -- resolution of the portfolio home bias puzzle. The model implies that investors can achieve full international risk diversification if the share of wealth invested in foreign equity matches their country's degree of openness (the imports to GDP share). The empirical evidence strongly supports this implication.
JEL-codes: F21 F3 (search for similar items in EconPapers)
Date: 2007-11
New Economics Papers: this item is included in nep-int
Note: IFM ITI
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)
Downloads: (external link)
http://www.nber.org/papers/w13612.pdf (application/pdf)
Related works:
Working Paper: Goods Trade and International Equity Portfolios (2009) 
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:nbr:nberwo:13612
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w13612
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().