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
| Verfasserangaben: | Rachel A. Campbell, Roman KräusslORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-38057 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,31 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2006, 31) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2006 |
| Jahr der Erstveröffentlichung: | 2006 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 23.02.2007 |
| Freies Schlagwort / Tag: | Asset Pricing; Downside Risk; Home Bias; Prospect Theory |
| GND-Schlagwort: | Capital-Asset-Pricing-Modell; Aktienportefeuille; Portfolio Selection |
| Ausgabe / Heft: | March 2006 |
| Seitenzahl: | 40 |
| HeBIS-PPN: | 191028738 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
