Asymmetric Information, Portfolio Managers and Home Bias
نویسندگان
چکیده
منابع مشابه
Asymmetric Information, Portfolio Managers and Home Bias
Why do investors excessively tilt their portfolio towards domestic assets? Recent studies suggest asymmetric information plays a signi cant role in the home equity bias puzzle. A key assumption in theoretical models is that agents invest in assets and process information on their own. However, most international investments are executed by managers in nancial institutions. These institutions a...
متن کاملWORKING PAPER SERIES No. 2/2002 ON ASYMMETRIC INFORMATION ACROSS COUNTRIES AND THE HOME-BIAS PUZZLE
This paper investigates the allocation decision of an investor who owns two projects, a domestic and a foreign one. A manager governs the expected return from each project, and the investor has less information on the actions of the foreign manager. The investor’s portfolio will be tilted relative to a situation with full information. With asymmetric information, he generally achieves a better ...
متن کامل1 International Investors’ Home Bias in Portfolio Equity Investment
This paper utilizes International Monetary Fund’s high quality dataset over the period from 2001 to 2004, to investigate the determinants of home bias in the international context. This paper contributes to the existing literature by using float adjusted measure of home bias for 38 countries. Information asymmetries arising due to countries’ regulatory and legal environment have significant imp...
متن کاملInformation Immobility and the Home Bias Puzzle
Many explanations for home or local bias rely on information asymmetry: investors know more about their home assets. A criticism of these theories is that asymmetry should disappear when information is tradable. This criticism is flawed. If investors have asymmetric prior beliefs, but choose how to allocate limited learning capacity before investing, they will not necessarily learn foreign info...
متن کاملLoss Aversion, Asymmetric Market Comovements, and the Home Bias
Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk aversion. But if so, should these agents not perceive larger gains from international diversification than standard ex...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1359280