International asset allocation for incompletely-informed investors

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51691

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51691

Title:	International asset allocation for incompletely-informed investors
Authors:	Gau,YF;Hua,MS;Wu,WL
Contributors:	財務金融學系
Keywords:	PARTIALLY OBSERVABLE ECONOMY;HOME BIAS PUZZLE;INDUSTRIAL-STRUCTURE;PORTFOLIO CHOICE;EQUITY PREMIUM;INTEREST-RATES;INFORMATION;DIVERSIFICATION;MARKET;EQUILIBRIUM
Date:	2010
Issue Date:	2012-03-27 19:02:59 (UTC+8)
Publisher:	國立中央大學
Abstract:	This study explains the home bias puzzle by examining the effect of information quality on the asset allocation decisions. Our calibration results based on MSCI data indicate that in order to hedge for the changing quality of the information, when updating their estimates of expected returns of foreign assets, those agents who are partially informed and relatively more conservative will tend to hold fewer foreign assets than completely-informed agents. Furthermore, the magnitude of home bias in the portfolio of partially-informed agents decreases with the precision of their estimates and the instantaneous correlation between the returns of the home and foreign assets. (C) 2010 Elsevier B.V. All rights reserved.
Relation:	JOURNAL OF FINANCIAL MARKETS
Appears in Collections:	[Department of Finance] journal & Dissertation

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