Home bias at home: Local equity preference in domestic portfolios

Journal of Finance

Volumn 54, Issue 6, 1999, Pages 2045-2073

  Coval, Joshua D ^a   Moskowitz, Tobias J ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0007884883     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00181     Document Type: Article

References (41)

1. Adler, Michael, and Bernard Dumas, 1983, International portfolio choice and corporation finance: A synthesis, Journal of Finance 38, 925-984.
2. Audretsch, David B., and Maryann P. Feldman, 1996, R&D spillovers and the geography of innovation and production, American Economic Review 86, 630-640.
3. Audretsch, David B., and Paula E. Stephan, 1996, Company-scientist locational links: The case of biotechnology, American Economic Review 86, 641-652.
4. Backus, David K., and Gregor W. Smith, 1993, Consumption and real exchange rates in dynamic economies with nontraded goods, Journal of International Economics 35, 297-316.
5. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 6, 103-126.
6. Bhandari, Laxmi Chand, 1988, Debt/equity ratio and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.
7. Black, Fischer, 1974, International capital market equilibrium with investment barriers, Journal of Financial Economics 1, 337-352.
8. Brennan, Michael J., and H. Henry Cao, 1997, International portfolio investment flows, Journal of Finance 52, 1855-1880.
9. Chan, K. C., and Nai-fu Chen, 1988, An unconditional asset-pricing test and the role of firm size as an instrumental variable for risk, Journal of Finance 46, 1467-1484.
10. Coval, Joshua D., 1996, International capital flows when investors have local information, Working paper, University of Michigan.
11. Coval, Joshua D., and Tobias J. Moskowitz, 1998a, The geography of investment: Informed trading and asset prices, CRSP Working paper, University of Chicago.
12. Coval, Joshua D., and Tobias J. Moskowitz, 1998b, On the selection of fund managers by institutional investors, Working paper, University of Michigan.
13. Daniel, Kent, and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in common stock returns, Journal of Finance 52, 1-34.
14. De Santis, Giorgio, and Bruno Gerard, 1997, International asset pricing and portfolio diversification with time-varying risk, Journal of Finance 52, 1881-1912.
15. Eldor, Rafael, David Pines, and Abba Schwartz, 1988, Home asset preference and productivity shocks, Journal of International Economics 25, 165-176.
16. Engel, Charles, and John H. Rogers, 1996, How wide is the border?, American Economic Review 86, 1112-1125.
17. Falkenstein, Eric G., 1996, Preferences for stock characteristics as revealed by mutual fund holdings, Journal of Finance 51, 111-135.
18. Fama, Eugene F, and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
19. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 53, 427-465.
20. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
21. French, Kenneth R., and James M. Poterba, 1991, Investor diversification and international equity markets, American Economic Review 81, 222-226.
22. Ghosh, Atish R., and Paulo A. Pesenti, 1994, International portfolio diversification, human wealth, and consumption growth: Some puzzles and interpretations, Unpublished manuscript, Princeton University.
23. Grubel, Herbert G., 1968, Internationally diversified portfolios, American Economic Review 58, 1299-1314.
24. Huberman, Gur, 1998, Familiarity breeds investment, Working paper, Columbia Business School.
25. Jaffe, Adam B., Manuel Trajtenberg, and Rebecca Henderson, 1993, Geographic localization of knowledge spillovers as evidenced by patent citations, Quarterly Journal of Economics 63, 577-598.
26. Kang, Jun-Koo, and René M. Stulz, 1997, Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics 46, 3-28.
27. Krugman, Paul, 1991a, Increasing returns and economic geography, Journal of Political Economy 99, 483-499.
28. Lerner, Josh, 1995, Venture capitalists and the oversight of private firms, Journal of Finance 50, 301-318.
29. Low, Aaron, 1993, Essays on asymmetric information in international finance, Unpublished dissertation, The Anderson School at UCLA.
30. Lucas, Robert E., Jr., 1993, Making a miracle, Econometrica 61, 251-272.
31. Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.
32. Oberhofer, W., and J. Kmenta, 1974, A general procedure for obtaining the maximum likelihood estimates in generalized regression models, Econometrica 42, 579-590.
33. Serrat, Angel, 1997, A dynamic equilibrium model of international risk-sharing puzzles, Working paper, University of Chicago.
34. Shumway, Tyler, 1996, Forecasting bankruptcy more efficiently: A simple hazard model, Working paper, University of Michigan.
35. Solnik, Bruno, 1974, An equilibrium model of the international capital market, Journal of Economic Theory 8, 500-524.
36. Stockman, Alan C., and Dellas, Harris, 1989, International portfolio nondiversification and exchange rate variability, Journal of International Economics 26, 271-289.
37. Stulz, René M., 1981a, On the effects of barriers to international investment, Journal of Finance 36, 923-934.
38. Stulz, René M., 1981b, A model of international asset pricing, Journal of Financial Economics 9, 383-406.
39. Tesar, Linda L., 1993, Savings, investment, and international capital flows, Journal of International Economics 31, 55-78.
40. Uppal, Raman, 1993, A general equilibrium model of international portfolio choice, Journal of Finance 48, 529-552.
41. Zucker, Lynne G., Michael R. Darby, and Jeff Armstrong, 1995, Intellectual capital and the firm: The technology of geographically localized knowledge spillovers, NBER Working paper series no. 4946.