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 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
Author: | Rachel A. Campbell, Roman KräusslORCiDGND |
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URN: | urn:nbn:de:hebis:30-38057 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,31 |
Series (Serial Number): | CFS working paper series (2006, 31) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2006 |
Year of first Publication: | 2006 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2007/02/23 |
Tag: | Asset Pricing; Downside Risk; Home Bias; Prospect Theory |
GND Keyword: | Capital-Asset-Pricing-Modell; Aktienportefeuille; Portfolio Selection |
Issue: | March 2006 |
Page Number: | 40 |
HeBIS-PPN: | 191028738 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Licence (German): | Deutsches Urheberrecht |