Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest. This phenomenon has been called equity home bias. In the absence of this home bias, investors would optimally diversify away domestic output risk. The...

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Bibliographische Detailangaben

1. Verfasser:	Lewis, Karen K. (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. 1998
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6351
Schlagworte:	Cycles économiques - Modèles économétriques Finances internationales - Modèles économétriques Ökonometrisches Modell Business cycles > Econometric models International finance > Econometric models
Online-Zugang:	Volltext
Zusammenfassung:	Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest. This phenomenon has been called equity home bias. In the absence of this home bias, investors would optimally diversify away domestic output risk. Therefore, in a world without investor home bias, consumption growth rates would tend to comove across countries even when output growth rates do not. Empirically, however, consumption growth rates tend to have a lower correlation across countries than do output growth rates. Moreover, consumption growth in each country appears to be highly correlated with its own output growth relative to the world. This phenomenon may be called consumption home bias. In this paper, I evaluate existing explanations for these two types of home bias.
Beschreibung:	59 S. graph. Darst.