This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Home Bias, Transactions Costs, and Prospects for the Euro: A More Detailed Analysis Author info | Abstract | Publisher info | Download info | Related research | Statistics Catherine L. Mann
Ellen E. Meade
This paper brings together the literature on determination of home bias in equity holdings and the portfolio balance model of exchange rates to consider whether the dollar might be affected by a change in transactions costs that alters international portfolio allocations. Our empirical findings lend support to the view that transactions costs have a significant influence on US portfolio holdings, even after accounting for float market share. In addition, new survey evidence on the equity holdings of European firms indicates home bias for European investors, and points to a reduction in the magnitude of this home bias since 1997.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number
0537.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: Jun 2002Date of revision:
Handle: RePEc:cep:cepdps:0537Contact details of provider: Web page: http://cep.lse.ac.uk/pubs/
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: portfolio choice equity flows exchange rates Other versions of this item:
Find related papers by JEL classification: F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements F31 - International Economics - - International Finance - - - Foreign Exchange G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Hali J. Edison & Robin Brooks & Manmohan S. Kumar & Torsten Sløk, 2001.
"Exchange Rates and Capital Flows ,"
IMF Working Papers
01/190, International Monetary Fund.
Maurice Obstfeld & Kenneth Rogoff, 2000.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? ,"
NBER Working Papers
7777, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Maurice Obstfeld & Kenneth Rogoff, 2001.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? ,"
International Trade
0012003, EconWPA.
[Downloadable!] Maurice Obstfeld and Kenneth Rogoff., 2000.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? ,"
Center for International and Development Economics Research (CIDER) Working Papers
C00-112, University of California at Berkeley.
[Downloadable!] Maurice Obstfeld & Kenneth Rogoff, 2006.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? ,"
Center for International and Development Economics Research, Working Paper Series
1010, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
[Downloadable!] Ian Domowitz & Jack Glen & Ananth Madhavan, 2000.
"Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time ,"
William Davidson Institute Working Papers Series
322, William Davidson Institute at the University of Michigan Stephen M. Ross Business School.
[Downloadable!]
Other versions:
Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 2001.
"Liquidity, Volatility and Equity Trading Costs across Countries and over Time ,"
International Finance ,
Blackwell Publishing, vol. 4(2), pages 221-55, Summer.
[Downloadable!] (restricted) Hans-Werner Sinn & Frank Westermann, 2001.
"Why Has the Euro Been Falling? An Investigation into the Determinants of the Exchange Rate ,"
NBER Working Papers
8352, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Guy Meredith, 2001.
"Why Has the Euro Been So Weak? ,"
IMF Working Papers
01/155, International Monetary Fund.
[Downloadable!]
Fratzscher, M., 2001.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets ,"
Papers
48, Quebec a Montreal - Recherche en gestion.
Other versions:
Marcel Fratzscher, 2001.
"Financial market integration in Europe: on the effects of EMU on stock markets ,"
Working Paper Series
48, European Central Bank.
[Downloadable!] Fratzscher, Marcel, 2002.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
[Downloadable!] (restricted) Pagano, Marco & Röell, Ailsa A & Zechner, Josef, 2001.
"The Geography of Equity Listing: Why Do Companies List Abroad? ,"
CEPR Discussion Papers
2681, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Marco Pagano & Ailsa A. Roell & Joseph Zechner, 1999.
"The Geography of Equity Listing; Why Do Companies List Abroad? ,"
CSEF Working Papers
28, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy, revised 01 Dec 2000.
[Downloadable!] Marco Pagano & Ailsa A. Röell & Josef Zechner, 2002.
"The Geography of Equity Listing: Why Do Companies List Abroad? ,"
Journal of Finance ,
American Finance Association, vol. 57(6), pages 2651-2694, December.
[Downloadable!] (restricted) Meese, Richard A. & Rogoff, Kenneth, 1983.
"Empirical exchange rate models of the seventies : Do they fit out of sample? ,"
Journal of International Economics ,
Elsevier, vol. 14(1-2), pages 3-24, February.
[Downloadable!] (restricted)
Beck, Thorsten & Demirguc-Kunt, Asli & Levine, Ross, 1999.
"A new database on financial development and structure ,"
Policy Research Working Paper Series
2146, The World Bank.
[Downloadable!]
Richard Portes & Helene Rey, 1999.
"The Determinants of Cross-Border Equity Flows ,"
NBER Working Papers
7336, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Richard Portes & Hélène Rey, 2001.
"The Determinants of Cross-Border Equity Flows ,"
DELTA Working Papers
2001-08, DELTA (Ecole normale supérieure).
[Downloadable!] Portes, Richard & Rey, Hélène, 1999.
"The Determinants of Cross-Border Equity Flows ,"
CEPR Discussion Papers
2225, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) R Portes & H Rey, 2000.
"The Determinants Of Cross-Border Equity Flows ,"
CEP Discussion Papers
0446, Centre for Economic Performance, LSE.
[Downloadable!] Portes, Richard & Rey, Helene, 2005.
"The determinants of cross-border equity flows ,"
Journal of International Economics ,
Elsevier, vol. 65(2), pages 269-296, March.
[Downloadable!] (restricted) Karen K. Lewis, 1999.
"Trying to Explain Home Bias in Equities and Consumption ,"
Journal of Economic Literature ,
American Economic Association, vol. 37(2), pages 571-608, June.
[Downloadable!] (restricted)
Cedric Tille & Nicolas Stoffels & Olga Gorbachev, 2001.
"To what extent does productivity drive the dollar? ,"
Current Issues in Economics and Finance ,
Federal Reserve Bank of New York, issue Aug.
[Downloadable!]
Lee Pinkowitz & Rene M. Stulz & Rohan Williamson, 2001.
"Corporate Governance and the Home Bias ,"
NBER Working Papers
8680, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Adjaoute, Kpate & Danthine, Jean-Pierre, 2001.
"Portfolio Diversification: Alive and Well in Euroland! ,"
CEPR Discussion Papers
3086, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Kpaté ADJAOUTE & Jean-Pierre DANTHINE, 2001.
"Portfolio Diversification: Alive and Well in Euroland! ,"
FAME Research Paper Series
rp32, International Center for Financial Asset Management and Engineering.
[Downloadable!] Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2001.
"Portfolio Diversification: Alive and well in Euroland ! ,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
01.08, Université de Lausanne, Faculté des HEC, DEEP.
[Downloadable!] Adjaoute, K. & Danthine, J.P., 2001.
"Portfolio Diversification: Alive and well In Euroland ,"
Papers
32, Manitoba - Department of Economics.
Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, 1998.
"Law and Finance ,"
Journal of Political Economy ,
University of Chicago Press, vol. 106(6), pages 1113-1155, December.
[Downloadable!] (restricted)
Other versions: Marco Pagano & Otto Randl & Ailsa A. Röell & Josef Zechner, 2000.
"What Makes Stock Exchanges Succeed? Evidence from Cross-Listing Decisions ,"
CSEF Working Papers
50, Centre for Studies in Economics and Finance (CSEF), University of Salerno, Italy.
[Downloadable!]
Other versions:
Pagano, Marco & Randl, Otto & Röell, Ailsa A & Zechner, Josef, 2001.
"What Makes Stock Exchanges Succeed? Evidence from Cross-Listing Decisions ,"
CEPR Discussion Papers
2683, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Pagano, Marco & Randl, Otto & Roell, Ailsa A. & Zechner, Josef, 2001.
"What makes stock exchanges succeed? Evidence from cross-listing decisions ,"
European Economic Review ,
Elsevier, vol. 45(4-6), pages 770-782, May.
[Downloadable!] (restricted) Tesar, Linda L. & Werner, Ingrid M., 1995.
"Home bias and high turnover ,"
Journal of International Money and Finance ,
Elsevier, vol. 14(4), pages 467-492, August.
[Downloadable!] (restricted)
Ahearne, Alan G. & Griever, William L. & Warnock, Francis E., 2004.
"Information costs and home bias: an analysis of US holdings of foreign equities ,"
Journal of International Economics ,
Elsevier, vol. 62(2), pages 313-336, March.
[Downloadable!] (restricted)
Other versions: Ron Alquist & Menzie D. Chinn, 2002.
"Productivity and the Euro-Dollar Exchange Rate Puzzle ,"
NBER Working Papers
8824, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Adjaoute, Kpate & Danthine, Jean-Pierre, 2001.
"EMU and Portfolio Diversification Opportunities ,"
CEPR Discussion Papers
2962, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Francis E. Warnock, 2001.
"Home bias and high turnover reconsidered ,"
International Finance Discussion Papers
702, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Anne Marie Gleeson & Frances Ruane, 2006.
"Export dynamics in Small Open Economies: Indigenous Irish Manufacturing Exports, 1985-2003 ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp140, IIIS.
[Downloadable!]
Sorensen, Bent E & Wu, Yi-Tsung & Yosha, Oved & Zhu, Yu, 2005.
"Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth ,"
CEPR Discussion Papers
5113, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Sorensen, Bent E. & Wu, Yi-Tsung & Yosha, Oved & Zhu, Yu, 2007.
"Home bias and international risk sharing: Twin puzzles separated at birth ,"
Journal of International Money and Finance ,
Elsevier, vol. 26(4), pages 587-605, June.
[Downloadable!] (restricted) Acharya, Viral V & Bisin, Alberto, 2003.
"Optimal Financial Market Integration and Security Design ,"
CEPR Discussion Papers
3852, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Philip Lane & Gian Maria Milesi-Ferretti, 2005.
"The International Equity Holdings of Euro Area Investors ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp104, IIIS.
[Downloadable!]
Access and
download statistics Did you know? IDEAS also indexes software components .
This page was last updated on 2008-9-16.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .