Revisiting the home bias puzzle : downside equity risk

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 dow
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
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Metadaten
Author:Rachel A. Campbell, Roman Kräussl
URN:urn:nbn:de:hebis:30-38057
Series (Serial Number):CFS working paper series (2006, 31)
Document Type:Working Paper
Language:English
Date of Publication (online):2007/02/23
Year of first Publication:2006
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2007/02/23
Tag:Asset Pricing ; Downside Risk ; Home Bias ; Prospect Theory
HeBIS PPN:191028738
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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