The Determinants of International Portfolio Holdings and Home Bias
February 1, 2004
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Summary
Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests new structural equations from a consumption-based asset-pricing model on international portfolio holdings. Using of stock data allows us to provide new and clear-cut evidence on the determinants of international portfolio holdings.
Subject: Agroindustries, Estimation techniques, Foreign assets, Stock markets, Stocks
Keywords: information asymmetry, market portfolio, WP
Pages:
25
Volume:
2004
DOI:
Issue:
034
Series:
Working Paper No. 2004/034
Stock No:
WPIEA0342004
ISBN:
9781451845297
ISSN:
1018-5941
