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! ]
The Role of Information Asimmetries and Inflation Hedging in International Equity Portfolios Author info | Abstract | Publisher info | Download info | Related research | Statistics Giofré, Maela M.
Additional information is available for the following
registered author(s):
We investigate the role of information asymmetries and inflation hedging in shaping international equity portfolios. We confirm, in a multinational setting, Cooper and Kaplanis (1994) result of no inflation hedging motive driving investors' behavior and find evidence of a crucial role for financial market development and trade linkages.
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
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
13925.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 2009Date of revision:
Handle: RePEc:pra:mprapa:13925Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Ekkehart Schlicht).
Keywords: equity home bias ; portfolio choice ; inflation hedging ; information asymmetries ; Other versions of this item:
Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions F30 - International Economics - - International Finance - - - General G15 - Financial Economics - - General Financial Markets - - - International Financial Markets F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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.: Fama, Eugene F. & Schwert, G. William, 1977.
"Asset returns and inflation ,"
Journal of Financial Economics ,
Elsevier, vol. 5(2), pages 115-146, November.
[Downloadable!] (restricted)
Tesar, Linda L., 1993.
"International risk-sharing and non-traded goods ,"
Journal of International Economics ,
Elsevier, vol. 35(1-2), pages 69-89, August.
[Downloadable!] (restricted)
Pesenti, Paolo & van Wincoop, Eric, 2002.
"Can Nontradables Generate Substantial Home Bias? ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 34(1), pages 25-50, February.
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)
Other versions: Raman Uppal & Tan Wang, 2003.
"Model Misspecification and Underdiversification ,"
Journal of Finance ,
American Finance Association, vol. 58(6), pages 2465-2486, December.
[Downloadable!] (restricted)
Baxter, Marianne & Jermann, Urban J, 1997.
"The International Diversification Puzzle Is Worse Than You Think ,"
American Economic Review ,
American Economic Association, vol. 87(1), pages 170-80, March.
[Downloadable!] (restricted)
Other versions: Rajan, Raghuram G & Zingales, Luigi, 1998.
"Financial Dependence and Growth ,"
American Economic Review ,
American Economic Association, vol. 88(3), pages 559-86, June.
[Downloadable!] (restricted)
Other versions: 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)
Other versions: 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)
Beck, Thorsten & Levine, Ross & Loayza, Norman, 2000.
"Finance and the sources of growth ,"
Journal of Financial Economics ,
Elsevier, vol. 58(1-2), pages 261-300.
[Downloadable!] (restricted)
Other versions: Li, Kai, 2004.
"Confidence in the Familiar: An International Perspective ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 39(01), pages 47-68, March.
[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)
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) Richard Portes & Helene Rey, 1999.
"The Determinants of Cross-Border Equity Flows ,"
NBER Working Papers
7336, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) R Portes & H Rey, 2000.
"The Determinants Of Cross-Border Equity Flows ,"
CEP Discussion Papers
dp0446, Centre for Economic Performance, LSE.
[Downloadable!] Alan G. Ahearne & William L. Griever & Francis E. Warnock, 2000.
"Information costs and home bias: an analysis of U.S. holdings of foreign equities ,"
International Finance Discussion Papers
691, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Solnik, B H, 1974.
"The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure ,"
Journal of Finance ,
American Finance Association, vol. 29(2), pages 365-78, May.
[Downloadable!] (restricted)
Maurice Obstfeld & Kenneth Rogoff, 2001.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? ,"
NBER Chapters ,
in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412
National Bureau of Economic Research, Inc.
[Downloadable!]
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, 2000.
"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!] 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) Stulz, Rene M, 1981.
"On the Effects of Barriers to International Investment ,"
Journal of Finance ,
American Finance Association, vol. 36(4), pages 923-34, September.
[Downloadable!] (restricted)
Mark Grinblatt, 2001.
"How Distance, Language, and Culture Influence Stockholdings and Trades ,"
Journal of Finance ,
American Finance Association, vol. 56(3), pages 1053-1073, 06.
[Downloadable!] (restricted)
Black, Fischer, 1974.
"International capital market equilibrium with investment barriers ,"
Journal of Financial Economics ,
Elsevier, vol. 1(4), pages 337-352, December.
[Downloadable!] (restricted)
Philip R. Lane & Gian Maria Milesi-Ferretti, 2008.
"International Investment Patterns ,"
The Review of Economics and Statistics ,
MIT Press, vol. 90(3), pages 538-549, 03.
[Downloadable!] (restricted)
Other versions:
Gian Maria Milesi-Ferretti & Philip R. Lane, 2004.
"International Investment Patterns ,"
IMF Working Papers
04/134, International Monetary Fund.
[Downloadable!] Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2004.
"International Investment Patterns ,"
CEPR Discussion Papers
4499, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Philip Lane & Gian Maria Milesi-Ferretti, 2005.
"International Investment Patterns ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp024, IIIS.
[Downloadable!] Michael Fidora & Marcel Fratzscher & Christian Thimann, 2006.
"Home bias in global bond and equity markets - the role of real exchange rate volatility ,"
Working Paper Series
685, European Central Bank.
[Downloadable!]
Other versions: Lintner, John, 1975.
"Inflation and Security Returns ,"
Journal of Finance ,
American Finance Association, vol. 30(2), pages 259-80, May.
[Downloadable!] (restricted)
Norman Strong & Xinzhong Xu, 2003.
"Understanding the Equity Home Bias: Evidence from Survey Data ,"
The Review of Economics and Statistics ,
MIT Press, vol. 85(2), pages 307-312, 03.
[Downloadable!] (restricted)
Warnock, Francis E., 2002.
"Home bias and high turnover reconsidered ,"
Journal of International Money and Finance ,
Elsevier, vol. 21(6), pages 795-805, November.
[Downloadable!] (restricted)
Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets ,"
American Economic Review ,
American Economic Association, vol. 70(3), pages 393-408, June.
Gehrig, Thomas, 1993.
" An Information Based Explanation of the Domestic Bias in International Equity Investment ,"
Scandinavian Journal of Economics ,
Blackwell Publishing, vol. 95(1), pages 97-109.
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)
Epstein, Larry G. & Miao, Jianjun, 2003.
"A two-person dynamic equilibrium under ambiguity ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 27(7), pages 1253-1288, May.
[Downloadable!] (restricted)
Other versions: Adler, Michael & Dumas, Bernard, 1983.
" International Portfolio Choice and Corporation Finance: A Synthesis ,"
Journal of Finance ,
American Finance Association, vol. 38(3), pages 925-84, June.
[Downloadable!] (restricted)
Coen, Alain, 2001.
"Home bias and international capital asset pricing model with human capital ,"
Journal of Multinational Financial Management ,
Elsevier, vol. 11(4-5), pages 497-513, December.
[Downloadable!] (restricted)
Levy, Haim & Sarnat, Marshall, 1970.
"International Diversification of Investment Portfolios ,"
American Economic Review ,
American Economic Association, vol. 60(4), pages 668-75, September.
[Downloadable!] (restricted)
Full
references
Access and
download statistics Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.
This page was last updated on 2009-11-23.
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 .