4.7 Article

No place like home: Home bias and flight-to-quality in Group of Seven countries

Related references

Note: Only part of the references are listed.
Article Business, Finance

A study on equity home bias using vine copula approach

Jyoti Garg et al.

Summary: The study explores the use of mean-downside risk optimization technique for asset allocation to address the equity home bias puzzle. A combined EGARCH-EVT-C-vine copula approach is proposed to capture the stylized properties of asset return series and estimate downside risk by CVaR. Using weekly stock price data from 12 countries, international portfolio allocations are estimated based on the mean-CVaR optimization model and compared with mean-variance allocations. The study finds that the mean-variance approach overestimates the US equity home bias and suggests that the mean-CVaR model provides a plausible empirical explanation for this phenomenon.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2023)

Article Business, Finance

Ambiguity, ambiguity aversion and foreign bias: New evidence from international panel data

Dennis Dlugosch et al.

Summary: This paper presents new empirical evidence on the relationship between ambiguity, ambiguity aversion, and foreign bias in equities. The findings suggest that, when the level of domestic ambiguity increases relative to foreign ambiguity, investors with a higher degree of ambiguity aversion are more likely to reduce their foreign bias.

JOURNAL OF BANKING & FINANCE (2022)

Article Business, Finance

From taper tantrum to Covid-19: Portfolio flows to emerging markets in periods of stress

Fabrizio Ferriani

Summary: During five episodes of market turmoil in emerging markets, investors triggered larger-than-expected negative abnormal flows after each event. These abnormal outflows are more prominent in ETFs, funds with longer operating periods, and those suited for retail investors, while funds with concentrated portfolios or larger liquidity buffers showed more resilience during crises.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2021)

Article Economics

Can home-biased investors diversify interregionally in the long run?

Seema Narayan et al.

Summary: The study found that investing within Asia is attractive for Asian investors, while other investors have limited diversification benefits within their own regions. MENA investors have better regional diversification opportunities compared to CEE and Latin American investors.

ECONOMIC MODELLING (2021)

Article Economics

Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out

Patrizia Perras et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2020)

Article Business, Finance

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

Clemens Sialm et al.

REVIEW OF FINANCIAL STUDIES (2020)

Article Business, Finance

Flights to Safety

Lieven Baele et al.

REVIEW OF FINANCIAL STUDIES (2020)

Article Business, Finance

Impact of central bank independence and transparency on international equity portfolio allocation: A cross-country analysis

Frank O. Kwabi et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)

Article Business, Finance

The Coming Wave: Where Do Emerging Market Investors Put Their Money?

G. Andrew Karolyi et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2020)

Review Economics

EQUITY HOME BIAS: A REVIEW ESSAY

Kavous Ardalan

JOURNAL OF ECONOMIC SURVEYS (2019)

Article Business, Finance

Stress testing the equity home bias: A turnover analysis of Eurozone markets

Manuela Geranio et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2019)

Article Business, Finance

A Measure of Pure Home Bias

Ian A. Cooper et al.

REVIEW OF FINANCE (2018)

Article Business, Finance

Funding liquidity, market liquidity and TED spread: A two-regime model

Kris Boudt et al.

JOURNAL OF EMPIRICAL FINANCE (2017)

Article Business, Finance

Financial education, investor protection and international portfolio diversification

Maela Giofre

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2017)

Article Economics

Evidence of cross-asset contagion in US markets

Guang-Di Chang et al.

ECONOMIC MODELLING (2016)

Article Business, Finance

Liquidity hoarding and interbank market rates: The role of counterparty risk

Florian Heider et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Article Business, Finance

Regime switches in the risk-return trade-off

Eric Ghysels et al.

JOURNAL OF EMPIRICAL FINANCE (2014)

Article Economics

A dynamic equilibrium model of imperfectly integrated financial markets

Harjoat S. Bhamra et al.

JOURNAL OF ECONOMIC THEORY (2014)

Article Economics

Home Bias in Open Economy Financial Macroeconomics

Nicolas Coeurdacier et al.

JOURNAL OF ECONOMIC LITERATURE (2013)

Article Business, Finance

Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation

Markus Baltzer et al.

JOURNAL OF BANKING & FINANCE (2013)

Article Business, Finance

Investment allocation decisions, home bias and the mandatory IFRS adoption

Mattias Hamberg et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2013)

Article Management

A Global Equilibrium Asset Pricing Model with Home Preference

Bruno Solnik et al.

MANAGEMENT SCIENCE (2012)

Article Business, Finance

No contagion, only globalization and flight to quality

Marie Briere et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2012)

Article Economics

A Model of Capital and Crises

Zhigu He et al.

REVIEW OF ECONOMIC STUDIES (2012)

Article Business, Finance

The flight home effect: Evidence from the syndicated loan market during financial crises

Mariassunta Giannetti et al.

JOURNAL OF FINANCIAL ECONOMICS (2012)

Article Economics

Home bias and the persistence of real exchange rates

Show-Lin Chen et al.

ECONOMIC MODELLING (2011)

Article Business, Finance

Patriotism in your portfolio

Adair Morse et al.

JOURNAL OF FINANCIAL MARKETS (2011)

Article Economics

Globalization and the Feldstein-Horioka puzzle

Javed Younas et al.

APPLIED ECONOMICS (2011)

Article Business, Finance

Individual Investors and Local Bias

Mark S. Seasholes et al.

JOURNAL OF FINANCE (2010)

Article Business, Finance

A cultural explanation of the foreign bias in international asset allocation

Sjoerd Beugelsdijk et al.

JOURNAL OF BANKING & FINANCE (2010)

Article Economics

A Note on the Theme of Too Many Instruments

David Roodman

OXFORD BULLETIN OF ECONOMICS AND STATISTICS (2009)

Article Business

Corporate cash holdings, uncertainty avoidance, and the multinationality of firms

Andres Ramirez et al.

INTERNATIONAL BUSINESS REVIEW (2009)

Article Business, Finance

Market Liquidity and Funding Liquidity

Markus K. Brunnermeier et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Alessandro Beber et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Financial Globalization, Governance, and the Evolution of the Home Bias

Bong-Chan Kho et al.

JOURNAL OF ACCOUNTING RESEARCH (2009)

Article Business, Finance

Information Immobility and the Home Bias Puzzle

Stijn Van Nieuwerburgh et al.

JOURNAL OF FINANCE (2009)

Article Business, Finance

Collective risk management in a flight to quality episode

Ricardo J. Caballero et al.

JOURNAL OF FINANCE (2008)

Article Economics

International investment patterns

Philip R. Lane et al.

REVIEW OF ECONOMICS AND STATISTICS (2008)

Article Business, Finance

Home bias in global bond and equity markets: The role of real exchange rate volatility

Michael Fidora et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2007)

Article Business, Finance

Home sweet home:: Home bias and international diversification among individual investors

Anders Karlsson et al.

JOURNAL OF BANKING & FINANCE (2007)

Article Business, Finance

The Copula-GARCH model of conditional dependencies: An international stock market application

Eric Jondeau et al.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2006)

Article Business, Finance

The dynamics of international equity market expectations

MJ Brennan et al.

JOURNAL OF FINANCIAL ECONOMICS (2005)

Article Economics

The determinants of cross-border equity flows

R Portes et al.

JOURNAL OF INTERNATIONAL ECONOMICS (2005)

Article Business, Finance

Stock market uncertainty and the stock-bond return relation

R Connolly et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2005)

Article Economics

Financial super-markets: size matters for asset trade

P Martin et al.

JOURNAL OF INTERNATIONAL ECONOMICS (2004)

Article Business

The flight-to-liquidity premium in US Treasury bond prices

FA Longstaff

JOURNAL OF BUSINESS (2004)

Article Economics

A two-person dynamic equilibrium under ambiguity

LG Epstein et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2003)

Article Business, Finance

Corporate governance and the home bias

M Dahlquist et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2003)

Article Economics

Computation and analysis of multiple structural change models

J Bai et al.

JOURNAL OF APPLIED ECONOMETRICS (2003)

Article Business, Finance

Model misspecification and underdiversification

R Uppal et al.

JOURNAL OF FINANCE (2003)

Article Business, Finance

How distance, language, and culture influence stockholdings and trades

M Grinblatt et al.

JOURNAL OF FINANCE (2001)

Article Business, Finance

Direct foreign ownership, institutional investors, and firm characteristics

M Dahlquist et al.

JOURNAL OF FINANCIAL ECONOMICS (2001)

Article Business, Finance

Asymmetric volatility and risk in equity markets

G Bekaert et al.

REVIEW OF FINANCIAL STUDIES (2000)