TY  - UNPD
A1  - Campbell, Rachel A.
A1  - Kräussl, Roman
T1  - Revisiting the home bias puzzle. Downside equity risk
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,31
N2  - Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 international markets’ returns over the last 34 years. The results are stable for various robustness checks. Investors may think globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias phenomenon, documented in international financial markets. JEL Classification: G11, G12, G15
T3  - CFS working paper series - 2006, 31 
KW  - Asset Pricing
KW  - Home Bias
KW  - Downside Risk
KW  - Prospect Theory
KW  - Capital-Asset-Pricing-Modell
KW  - Aktienportefeuille
KW  - Portfolio Selection
Y1  - 2006
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/1627
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-38057
IS  - March 2006
ER  -