Portfolio choice, behavioral preferences and equity home bias

Quarterly Review of Economics and Finance

Volumn 49, Issue 2, 2009, Pages 501-520

  Magi, Alessandro ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Behavioral finance; Equity home bias; Portfolio choice

Indexed keywords

EID: 64649092733     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2008.01.004     Document Type: Article

References (52)

1. Bank of Italy. Survey on household income and wealth (1998), Bank of Italy, Rome
2. Bank of Italy. Survey on household income and wealth (2000), Bank of Italy, Rome
3. Bank of Italy. Survey on household income and wealth (2002), Bank of Italy, Rome
4. Barberis N., and Huang M. Mental accounting, loss aversion and individual stock returns. Journal of Finance 56 (2001) 1247-1292
5. Barberis, N., & Huang, M. (2004). Preferences with frames: A new utility specification that allows for the framing of risks. Working paper, Yale School of Management, Yale University.
6. Barberis N., and Huang M. The loss aversion/narrow framing approach to the equity premium puzzle. In: Mehra R. (Ed). Handbook of Investments: Equity Risk Premium (2007), North Holland, Amsterdam
7. Barberis N., and Thaler R. A survey of behavioral finance. In: Constantinides G., Harris M., and Stulz R. (Eds). Handbook of the economics of finance (2003), North-Holland, Amsterdam
8. Barberis N., Huang M., and Santos T. Prospect theory and asset prices. Quarterly Journal of Economics 116 (2001) 1-53
9. Barberis N., Huang M., and Thaler R. Individual preferences, monetary gambles, and stock market participation: a case for narrow framing. American Economic Review 96 (2006) 1069-1090
10. Benartzi S., and Thaler R. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110 (1995) 75-92
11. Campbell J.Y. Asset pricing at the millenium. Journal of Finance 55 (2000) 1515-1567
12. Campbell J.Y. Consumption-based asset pricing. In: Constantinides G., Harris M., and Stulz R. (Eds). Handbook of the economics of finance (2003), North-Holland, Amsterdam
13. Christelis, D., Jappelli, T., & Padula, M. (2006). Cognitive abilities and portfolio choice. CSEF working paper no. 157, University of Salerno.
14. Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57 (1989) 937-968
15. Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical investigation. Journal of Political Economy 99 (1991) 263-286
16. Faiella, I., & Neri, A. (2004). La ricchezza delle famiglie italiane e americane. Temi di Discussione, no. 501, Bank of Italy (in Italian).
17. French K., and Poterba J. International diversification and international equity markets. American Economic Review 81 (1991) 222-226
18. Goetzmann, W., & Kumar, A. (2002). Equity portfolio diversification. ICF working paper, no. 00-59, Yale University.
19. Golub S. International capital mobility: Net versus gross stocks and flows. Journal of International Money and Finance 9 (1990) 424-439
20. Gomes F. Portfolio choice and trading volume with loss-averse investors. Journal of Business 78 (2005) 675-706
21. Guiso, L., Sapienza, P., & Zingales, L. (2005a). Cultural biases in economic exchange. Working paper, Graduate School of Business, University of Chicago.
22. Guiso, L., Sapienza, P., & Zingales, L. (2005b). Trusting the stock market. Working paper, Graduate School of Business, University of Chicago.
23. Haliassos M., and Bertaut C. Why do so few hold stocks?. Economic Journal 105 (1995) 1110-1129
24. Huberman G. Familiarity breeds investment. Review of Financial Studies 14 (2001) 659-680
25. Judd K. Numerical methods in economics (1998), MIT Press, Cambridge, USA
26. Kahneman D. Maps of bounded rationality: Psychology for behavioral economics. American Economic Review 93 (2003) 1449-1475
27. Kahneman D., and Tversky A. Prospect theory: An analysis of decision under risk. Econometrica 37 (1979) 263-291
28. Kelly M. All their eggs in one basket: Portfolio diversification of US households. Journal of Economic Behavior and Organization 27 (1995) 87-96
29. Kocherlakota N. The equity premium: It's still a puzzle. Journal of Economic Literature 34 (1996) 42-71
30. Levy H., and Sarnat M. International diversification of investment portfolios. American Economic Review 60 (1970) 668-675
31. Lewis K. Trying to explain home bias in equities and consumption. Journal of Economic Literature 37 (1999) 571-608
32. Magi, A. (2004). Aggregate stock market behavior and portfolio choice in behavioral finance models. Ph.D. Dissertation, Department of Economics, University of Rome "La Sapienza", Rome (in Italian).
33. Mankiw G., and Zeldes S. The consumption of stockholders and non-stockholders. Journal of Financial Economics 29 (1991) 97-112
34. Mehra R., and Prescott E. The equity premium: a puzzle. Journal of Monetary Economics 15 (1985) 145-161
35. Michaelides A. International portfolio choice, liquidity constraints and the home equity bias puzzle. Journal of Economic Dynamics & Control 28 (2003) 555-594
36. Obstfeld M., and Rogoff K. The six major puzzles in international macroeconomics: Is there a common cause?. In: Bernanke B., and Rogoff K. (Eds). NBER macroeconomics annual (2000), MIT Press, Cambridge
37. Rabin M. Psychology and Economics. Journal of Economic Literature 36 (1998) 11-46
38. Rabin M. A perspective on psychology and economics. European Economic Review 46 (2002) 657-685
39. Reis R. Monetary policy for inattentive economies. Journal of Monetary Economics 52 (2005) 703-725
40. Simon H. Models of bounded rationality (1982), MIT Press, Cambridge, USA
41. Sims C. Implications of rational inattention. Journal of Monetary Economics 50 (2003) 665-690
42. Slovic P. Psychological study of human judgment: Implications for investment decision making. Journal of Finance 27 (1972) 779-799
43. Solnik B. An equilibrium model of the international capital market. Journal of Economic Theory 8 (1974) 500-524
44. Spaniol J., and Bayen U. Ageing and conditional probability judgments: A global matching approach. Psychology and Ageing 20 (2005) 165-181
45. Stracca, L. (2002a). Behavioral finance and aggregate market behavior: Where do we stand? Working paper, ECB, Frankfurt.
46. Stracca, L. (2002b). The optimal allocation of risks under prospect theory. ECB working paper no. 161, Frankfurt.
47. Tauchen G., and Hussey R. Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Econometrica 59 (1991) 371-396
48. Tesar L., and Werner I. Home bias and high turnover. Journal of International Money and Finance 14 (1995) 467-492
49. Tesar L., and Werner I. The internationalization of securities markets since the 1987 crash. In: Litan e R., and Santomero A. (Eds). Brookings-Wharton papers on financial services (1998), The Brookings Institution, Washington
50. Tversky A., and Kahneman D. The framing of decisions and the psychology of choice. Science 211 (1981) 453-458
51. Tversky A., and Kahneman D. Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty 5 (1992) 297-323
52. Weil P. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24 (1989) 401-421