International asset allocation for incompletely-informed investors

NCU Institutional Repository > 管理學院 > 財務金融學系 > 期刊論文 > Item 987654321/51691

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题名:	International asset allocation for incompletely-informed investors
作者:	Gau,YF;Hua,MS;Wu,WL
贡献者:	財務金融學系
关键词:	PARTIALLY OBSERVABLE ECONOMY;HOME BIAS PUZZLE;INDUSTRIAL-STRUCTURE;PORTFOLIO CHOICE;EQUITY PREMIUM;INTEREST-RATES;INFORMATION;DIVERSIFICATION;MARKET;EQUILIBRIUM
日期:	2010
上传时间:	2012-03-27 19:02:59 (UTC+8)
出版者:	國立中央大學
摘要:	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.
關聯:	JOURNAL OF FINANCIAL MARKETS
显示于类别:	[財務金融學系] 期刊論文

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