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Information Immobility and the Home Bias Puzzle Author info | Abstract | Publisher info | Download info | Related research | Statistics Laura Veldkamp
Stijn Van Nieuwerburgh
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Paper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number
04-32.
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Date of creation: 2004Date of revision:
Handle: RePEc:ste:nystbu:04-32Contact details of provider: Postal: New York University, Leonard N. Stern School of Business, Department of Economics, 44 West 4th Street, New York, NY 10012-1126 Phone: (212) 998-0860 Fax: (212) 995-4218 Web page: http://w4.stern.nyu.edu/economics/ More information through EDIRC
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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.: Portes, Richard & Rey, Helene & Oh, Yonghyup, 2001.
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The Quarterly Journal of Economics ,
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"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? ,"
Econometric Society 2004 North American Winter Meetings
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Philippe Bacchetta & Eric van Wincoop, 2003.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? ,"
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American Economic Review ,
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"Portfolio Selection and Asset Pricing Models ,"
CRSP working papers
356, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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Lubo Pástor, .
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CRSP working papers
498, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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Richard Portes & Hélène Rey, 2001.
"The Determinants of Cross-Border Equity Flows ,"
DELTA Working Papers
2001-08, DELTA (Ecole normale supérieure).
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"Trying to Explain Home Bias in Equities and Consumption ,"
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"A New Micro Model of Exchange Rate Dynamics ,"
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"Is Information Risk a Determinant of Asset Returns? ,"
Journal of Finance ,
American Finance Association, vol. 57(5), pages 2185-2221, October.
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Baxter, M. & Jermann, U.J., 1993.
"The International Diversification Puzzle is Worse than you Think ,"
RCER Working Papers
350, University of Rochester - Center for Economic Research (RCER).
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Marianne Baxter & Urban J. Jermann, 1995.
"The International Diversification Puzzle is Worse Than You Think ,"
NBER Working Papers
5019, National Bureau of Economic Research, Inc.
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"The International Diversification Puzzle Is Worse Than You Think ,"
American Economic Review ,
American Economic Association, vol. 87(1), pages 170-80, March.
[Downloadable!] (restricted) Harold L. Cole & George J. Mailath & Andrew Postlewaite, 2000.
"Investment and Concern for Relative Position ,"
CARESS Working Papres
invest, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
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Other versions: Lauren Cohen & Andrea Frazzini & Christopher Malloy, 2007.
"The Small World of Investing: Board Connections and Mutual Fund Returns ,"
NBER Working Papers
13121, National Bureau of Economic Research, Inc.
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Other versions: Tomas Dvorak, .
"Do Domestic Investors Have an Information Advantage? Evidence from Indonesia ,"
Center for Development Economics
168, Department of Economics, Williams College.
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Lubos PÁstor & Veronesi Pietro, 2003.
"Stock Valuation and Learning about Profitability ,"
Journal of Finance ,
American Finance Association, vol. 58(5), pages 1749-1790, October.
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Other versions: Sims, Christopher A., 2003.
"Implications of rational inattention ,"
Journal of Monetary Economics ,
Elsevier, vol. 50(3), pages 665-690, April.
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Harald Hau, 2001.
"Location Matters: An Examination of Trading Profits ,"
Journal of Finance ,
American Finance Association, vol. 56(5), pages 1959-1983, October.
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Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad, 2003.
"Equity Market Liberalization in Emerging Markets ,"
Journal of Financial Research ,
Southern Finance Association and Southwestern Finance Association, vol. 26(3), pages 275-299.
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Other versions: Joshua D. Coval & Tobias J. Moskowitz, .
"The Geography of Investment: Informed Trading and Asset Prices." ,"
CRSP working papers
502, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Zoran Ivkovich & Clemens Sialm & Scott Weisbenner, 2004.
"Portfolio Concentration and the Performance of Individual Investors ,"
NBER Working Papers
10675, National Bureau of Economic Research, Inc.
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Other versions: Calvo, Guillermo A. & Mendoza, Enrique G., 2000.
"Rational contagion and the globalization of securities markets ,"
Journal of International Economics ,
Elsevier, vol. 51(1), pages 79-113, June.
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Other versions: 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.
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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.
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Other versions: Stijn Van Nieuwerburgh & Laura Veldkamp, 2008.
"Information Acquisition and Under-Diversification ,"
NBER Working Papers
13904, National Bureau of Economic Research, Inc.
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Massa, Massimo & Simonov, Andrei, 2004.
"Hedging, Familiarity and Portfolio Choice ,"
CEPR Discussion Papers
4789, C.E.P.R. Discussion Papers.
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Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005.
"On the Industry Concentration of Actively Managed Equity Mutual Funds ,"
Journal of Finance ,
American Finance Association, vol. 60(4), pages 1983-2011, 08.
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Other versions: Admati, Anat R & Pfleiderer, Paul, 1990.
"Direct and Indirect Sale of Information ,"
Econometrica ,
Econometric Society, vol. 58(4), pages 901-28, July.
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Linda L. Tesar & Ingrid M. Werner, 1994.
"International Equity Transactions and U.S. Portfolio Choice ,"
NBER Working Papers
4611, National Bureau of Economic Research, Inc.
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Joshua Coval & Tobias Moskowitz, 2000.
"The Geography of Investment: Informed Trading and Asset Prices ,"
Econometric Society World Congress 2000 Contributed Papers
1379, Econometric Society.
[Downloadable!]
Massa, Massimo & Simonov, Andrei, 2004.
"Hedging, Familiarity and Portfolio Choice ,"
SIFR Research Report Series
21, Institute for Financial Research.
[Downloadable!]
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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.)
Fabrizio Perri & Jonathan Heathcote, 2007.
"The International Diversification Puzzle Is Not as Bad as You Think ,"
Working Papers
2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
[Downloadable!]
Other versions:
Heathcote, Jonathan & Perri, Fabrizio, 2008.
"The International Diversification Puzzle is Not as Bad as You Think ,"
CEPR Discussion Papers
6982, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Jonathan Heathcote & Fabrizio Perri, 2007.
"The International Diversification Puzzle Is Not As Bad As You Think ,"
NBER Working Papers
13483, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Jonathan Heathcote & Fabrizio Perri, 2007.
"The international diversification puzzle is not as bad as you think ,"
Staff Report
398, Federal Reserve Bank of Minneapolis.
[Downloadable!] Jonathan Heathcote & Fabrizio Perri, 2004.
"The international diversification puzzle is not as bad as you think ,"
2004 Meeting Papers
152, Society for Economic Dynamics.
Bartosz Mackowiak & Mirko Wiederholt, 2004.
"Optimal Sticky Prices under Rational Inattention ,"
SFB 649 Discussion Papers
SFB649DP2005-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Jul 2005.
[Downloadable!]
Other versions:
Bartosz Maćkowiak & Mirko Wiederholt, 2009.
"Optimal sticky prices under rational inattention ,"
Working Paper Series
1009, European Central Bank.
[Downloadable!] Mackowiak, Bartosz Adam & Wiederholt, Mirko, 2007.
"Optimal Sticky Prices under Rational Inattention ,"
CEPR Discussion Papers
6243, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Mirko Wiederholt & Bartosz Mackowiak, 2005.
"Optimal Sticky Prices under Rational Inattention ,"
2005 Meeting Papers
369, Society for Economic Dynamics.
[Downloadable!] Bartosz Mackowiak & Mirko Wiederholt, 2009.
"Optimal Sticky Prices under Rational Inattention ,"
American Economic Review ,
American Economic Association, vol. 99(3), pages 769-803, June.
[Downloadable!] Cédric Tille & Eric van Wincoop, 2008.
"International Capital Flows under Dispersed Information: Theory and Evidence ,"
NBER Working Papers
14390, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Hellwig, Christian & Veldkamp, Laura, 2007.
"Knowing What Others Know: Coordination Motives in Information Acquisition ,"
CEPR Discussion Papers
6506, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Laura Veldkamp & Christian Hellwig, 2006.
"Knowing What Others Know: Coordination Motives in Information Acquisition ,"
Working Papers
06-14, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!] Christian Hellwig & Laura Veldkamp, 2006.
"Knowing what others Know: Coordination motives in information acquisition ,"
2006 Meeting Papers
361, Society for Economic Dynamics.
[Downloadable!] Christian Hellwig & Laura Veldkamp, 2009.
"Knowing What Others Know: Coordination Motives in Information Acquisition ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 76(1), pages 223-251, 01.
[Downloadable!] (restricted) Juan Carlos Hatchondo, 2005.
"Asymmetric information and the lack of international portfolio diversification ,"
Working Paper
05-07, Federal Reserve Bank of Richmond.
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Jordi Mondria & Thomas Wu & Yi Zhang, 2008.
"The Determinants of International Investment and Attention Allocation: Using Internet Search Query Data ,"
Working Papers
tecipa-326, University of Toronto, Department of Economics.
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Leonardo Melosi, 2009.
"A Likelihood Analysis of Models with Information Frictions ,"
PIER Working Paper Archive
09-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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Shawn Cole & Xavier Giné & Jeremy Tobacman & Petia Topalova & Robert Townsend & James Vickery, 2009.
"Barriers to household risk management: evidence from India ,"
Staff Reports
373, Federal Reserve Bank of New York.
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Christopher A. Sims, 2006.
"Rational Inattention: Beyond the Linear-Quadratic Case ,"
American Economic Review ,
American Economic Association, vol. 96(2), pages 158-163, May.
[Downloadable!]
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