Trying to Explain Home Bias in Equities and Consumption

Journal of Economic Literature

Volumn 37, Issue 2, 1999, Pages 571-608

  Lewis, Karen K ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001582485     PISSN: 00220515     EISSN: None     Source Type: Journal    
DOI: 10.1257/jel.37.2.571     Document Type: Article

References (65)

1. Adler, Michael and Bernard Dumas. 1983. "International Portfolio Choice and Corporate Finance: A Synthesis," J. Fin., 38:3, pp. 925-84.
2. Backus, David K.; Patrick J. Kehoe, and Finn E. Kydland. 1992. "International Real Business Cycles," J. Polit. Econ., 100:4, pp. 745-75.
3. Baxter, Marianne and Mario J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign Trade," Int. Econ. Rev., 36:4, pp. 821-54.
4. Baxter, Marianne and Urban J. Jermann. 1997. "The International Diversification Puzzle Is Worse Than You Think," Amer. Econ. Rev., 87:1, pp. 170-80.
5. Baxter, Marianne; Urban J. Jermann, and Robert G. King. 1998. "Nontraded Goods, Nontraded Factors, and Non-Diversification," J. Int. Econ., 44:2, pp. 211-29.
6. Bekaert, Geert. 1994. "Exchange Rate Volatility and Deviations from Unbiasedness in a Cash-in-Advance Model," J. Int. Econ., 36:1/2, pp. 29-52.
7. Bekaert, Geert and Robert J. Hodrick. 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," J. Fin., 47:2, pp. 467-509.
8. Bekaert, Geert and Michael S. Urias. 1996. "Diversification, Integration, and Emerging Market Closed-End Funds," J. Fin., 51:3, pp. 835-69.
9. Black, Fischer. 1974. "International Capital Market Equilibrium with Investment Barriers," J. Finan. Econ., 1:4, pp. 337-52.
10. Bohn, Henning and Linda L. Tesar. 1996. "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?" Amer. Econ. Rev., 86:2, pp. 77-81.
11. Bonser-Neal, Catherine; Greggory Brauer, Robert Neal, and Simon Wheatley. 1990. "International Investment Restrictions and Closed-End Country Fund Prices," J. Fin., 45:2, pp. 523-47.
12. Bottazi, Laura; Paolo Pesenti, and Eric van Wincoop. 1996. "Wages, Profits and the International Portfolio Puzzle," Europ. Econ. Rev., 40:2, pp. 219-54.
13. Brennan, Michael and Henry Cao. 1997. "International Portfolio Investment Flows," J. Fin. 52:5, 1851-80.
14. Claessens, Stijn and Moon-Whoan Rhee. 1994. "The Effects of Equity Barriers on Foreign Investment in Developing Countries," in The Internationalization of Equity Markets. Jeffrey A. Frankel, ed. Chicago and London: U. Chicago Press, pp. 231-71.
15. Cole, Harold L. and Maurice Obstfeld. 1991. "Commodity Trade and International Risk Sharing: How Much Do Financial Markets Matter?" J. Monet. Econ., 28:1, pp. 3-24.
16. Cooper, Ian A. and Evi Kaplanis. 1986. "Costs of Crossborder Investment and International Equity Market Equilibrium," in Recent Advances in Corporate Finance. Jeremy Edwards, ed. Cambridge: Cambridge U. Press.
17. _. 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Rev. Finan. Stud., 7:1, pp. 45-60.
18. Dumas, Bernard and Bruno Solnik. 1995. "The World Price of Foreign Exchange Risk," J. Fin., 50:2, pp. 445-79.
19. Errunza, Vihang and Etienne Losq. 1985. "International Asset Pricing under Mild Segmentation: Theory and Test," J. Fin., 40:1, pp. 105-24.
20. _. 1989. "Capital Flow Controls, International Asset Pricing, and Investor's Welfare: A Multi-Country Framework," J. Fin., 44:4, 1025-37.
21. Fama, Eugene F. and Kenneth R. French. Forthcoming. "Value versus Growth: The International Evidence," J. Fin.
22. Ferson, Wayne E and Campbell R. Harvey. 1993. "The Risk and Predictability of International Equity Returns," Rev. Finan. Stud., 6:3, pp. 527-66.
23. French, Kenneth R. and James M. Poterba. 1991. "International Diversification and International Equity Markets," Amer. Econ. Rev., 81:2, pp. 222-26.
24. Froot, Kenneth and Kenneth Rogoff. 1995. "Perspectives on PPP and Long-Run Real Exchange Rates," in Handbook of International Economics. Gene Grossman and Kenneth Rogoff, eds. Amsterdam: North Holland, pp. 1647-88.
25. Gehrig, Thomas P. 1993. "An Information Based Explanation of the Domestic Bias in International Equity Investment," Scand. J. Econ., 95:1, pp. 97-109.
26. Gorman, Larry R. and Bjorn N. Jorgensen. 1996. "Domestic Versus International Portfolio Selections: A Statistical Examination of the Home Bias," Working Paper, Kellogg Graduate School Manage., Northwestern U.
27. Grauer, Robert R. and Nils H. Hakansson. 1987. "Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds," J. Fin., 42:3, pp. 721-39.
28. Hansen, Lars Peter and Robert T. Hodrick. 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," in Exchange Rates and International Macroeconomics. Jacob A. Frenkel, ed. Chicago: U. Chicago Press.
29. Hansen, Lars Peter and Ravi Jagannathan. 1991. "Implications of Security Market Data for Models of Dynamic Economies," J. Polit. Econ., 99:2, pp. 225-62.
30. Hardouvelis, Gikas A.; Rafael La Porta, and Thierry A. Wizman. 1994. "What Moves the Discount on Country Equity Funds?" in The Internationalization of Equity Markets. Jeffrey A. Frankel, ed. Chicago and London: U. Chicago Press, pp. 345-97.
31. Harvey, Campbell R. 1991. "The World Price of Covariance Risk," J. Fin., 46:1, pp. 111-57.
32. Heaton, John and Deborah Lucas. 1995. "The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices," Carnegie-Rochester Conf. Ser. Public Policy, 42:0, pp. 1-32.
33. _. 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," J. Polit. Econ., 104:3, pp. 443-87.
34. Heston, Steven L. and K. Geert Roewenhorst. 1994. "Does Industrial Structure Explain the Benefits of International Diversification?" J. Finan. Econ., 36:1, pp. 3-27.
35. Jacquillat, Bertrand and Bruno H. Solnik. 1978. "Multinationals are Poor Tools for Diversification," J. Portfol. Manage., 4:2, pp. 8-12.
36. Kane, Jun-Koo and Rene M. Stulz. 1997. "Why Is There Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," J. Finan. Econ., 46:1, pp. 3-28.
37. King, Mervyn A. and Sushil Wadhwani. 1990. "Transmission of Volatility between Stock Markets," Rev. Finan. Stud., 3:1, pp. 5-33.
38. Klein, Roger W. and Vijay S. Bawa. 1976. "The Effect of Estimation Risk on Optimal Portfolio Choice," J. Finan. Econ., 3:3, pp. 215-231.
39. Levy, Haim and Marshall Sarnat. 1970. "International Diversification of Investment Portfolios," Amer. Econ. Rev., 60:4, pp. 668-75.
40. Lewis, Karen K. 1995. "Puzzles in International Financial Markets," in Handbook of International Economics. Gene Grossman and Kenneth Rogoff, eds. Amsterdam: North Holland, pp. 1913-71.
41. _. 1996. "What Can Explain the Apparent Lack of International Consumption Risk Sharing?" J. Polit. Econ., 104:2, pp. 267-97.
42. _. Forthcoming. "Consumption, Stock Returns, and the Gains from International Risk Sharing," J. Int. Econ.
43. Lucas, Robert E., Jr. 1982. "Interest Rates and Currency Prices in a Two-Country World," J. Monet. Econ., 10:3, pp. 335-59.
44. _. 1987. Models of Business Cycles. Oxford and New York. Basil Blackwell.
45. Mehra, Rajnish and Edward C. Prescott. 1985. "The Equity Premium: A Puzzle," J. Monet. Econ., 15:2, pp. 145-62.
46. Obstfeld, Maurice. 1994a. "Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability," Europ. Econ. Rev., 38:7, pp. 1471-86.
47. _. 1994b. "Risk-Taking, Global Diversification, and Growth," Amer. Econ. Rev., 84:5, pp. 1310-29.
48. Pappas, Milton. 1997. "United States Portfolio Investment Abroad," Washington DC: US Treasury.
49. Pastor, Lubos. 1998. "Portfolio Selection and Asset Pricing Models," Working Paper, Wharton School, U. Pennsylvania.
50. Serrat, Angel. 1998. "A Dynamic Equilibrium Model of International Risk-Sharing Puzzles," Graduate School of Business Working Paper, U. Chicago.
51. Solnik, Bruno. 1974a. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," J. Fin., 29:2, pp. 365-78.
52. _. 1974b. "An Equilibrium Model of the International Capital Market," J. Econ. Theory, 8:4, pp. 500-24.
53. Stehle, Richard E. 1977. "An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets," J. Fin., 32:2, pp. 493-502.
54. Stockman, Alan C. and Harris Dellas. 1989. "International Portfolio Nondiversification and Exchange Rate Variability," J. Int. Econ., 26:3/4, pp. 271-90.
55. Stockman, Alan C. and Linda L. Tesar. 1995. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Co-Movements," Amer. Econ. Rev., 85:1, pp. 168-85.
56. Storesletten, Kjetil; Chris Telmer, and Amir Yaron. 1997. "Persistent Idiosyncratic Shocks and Incomplete Markets," Carnegie Mellon U. Working Paper.
57. Stulz, Rene M. 1981a. "On the Effects of Barriers to International Investment," J. Fin., 36:4, pp. 923-34.
58. _. 1981b. "A Model of International Asset Pricing," J. Finan. Econ., 9:4, pp. 383-406.
59. _. 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Paper No. 4645.
60. Summers, Robert and Alan Heston. 1991. "The Penn World Table Mark 5: An Expanded Set of International Comparisons, 1950-1988," Quart. J. Econ., 106:2, pp. 327-68.
61. Telmer, Chris I. 1993. "Asset Pricing Puzzles and Incomplete Markets," J. Fin., 48:5, pp. 1803-32.
62. Tesar, Linda. 1995. "Evaluating the Gains from International Risk-Sharing," Carnegie Rochester Conf Ser. Public Policy, 42:0, pp. 9.5-143.
63. Tesar, Linda and Ingrid Werner. 1995. "Home Bias and High Turnover," J. Int. Money Finance, 14:4, pp. 467-92.
64. van Wincoop, Eric. 1994. "Welfare Gains from International Risksharing," J. Monet. Econ., 34:2, pp. 175-200.
65. Vassalou, Maria. 1997. "Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns," Working Paper, Columbia U. Business School.