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Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias

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  • Glassman, Debra A.
  • Riddick, Leigh A.

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  • Glassman, Debra A. & Riddick, Leigh A., 1996. "Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 275-312, April.
  • Handle: RePEc:eee:jimfin:v:15:y:1996:i:2:p:275-312
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    References listed on IDEAS

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    1. Charles Engel, Jeffrey A. Frankel, Kenneth A. Froot, and Anthony Rodrigues., 1990. "The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market," Economics Working Papers 90-134, University of California at Berkeley.
    2. Pentti J. K. Kouri & Jorge Braga De Macedo, 1978. "Exchange Rates and the International Adjustments Process," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 9(1), pages 111-158.
    3. Engel, Charles & Rodrigues, Anthony P, 1989. "Tests of International CAPM with Time-Varying Covariances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(2), pages 119-138, April-Jun.
    4. Glassman, Debra A. & Riddick, Leigh A., 1994. "International diversification: New evidence on market segmentation," International Review of Economics & Finance, Elsevier, vol. 3(1), pages 73-92.
    5. Green, Richard C & Hollifield, Burton, 1992. " When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
    6. Pentti J.K. Kouri & Jorge B. de Macedo, 1978. "Exchange Rates and the International Adjustment Process," Cowles Foundation Discussion Papers 488, Cowles Foundation for Research in Economics, Yale University.
    7. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
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    Citations

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    Cited by:

    1. José Soares Fonseca, 2006. "The Integration of European Stock Markets and Market Timing," GEMF Working Papers 2006-05, GEMF, Faculty of Economics, University of Coimbra.
    2. Glassman, Debra A. & Riddick, Leigh A., 2001. "What causes home asset bias and how should it be measured?," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 35-54, March.
    3. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
    4. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen--Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 11(1), pages 144-158, February.
    5. Landon, Stuart & Smith, Constance E., 2007. "Government debt spillovers in a monetary union," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 135-154, August.
    6. Hyytiainen, Kari & Penttinen, Markku, 2008. "Applying portfolio optimisation to the harvesting decisions of non-industrial private forest owners," Forest Policy and Economics, Elsevier, vol. 10(3), pages 151-160, January.
    7. Maria Aguirre & Reza Saidi, 2000. "Volatility behavior of exchange rate future contracts," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(4), pages 396-411, December.
    8. Barron, John M. & Ni, Jinlan, 2008. "Endogenous asymmetric information and international equity home bias: The effects of portfolio size and information costs," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 617-635, June.
    9. Liljeblom, Eva & Loflund, Anders, 2005. "Determinants of international portfolio investment flows to a small market: Empirical evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 211-233, July.
    10. Glassman, Debra A. & Riddick, Leigh A., 2006. "Market timing by global fund managers," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1029-1050, November.

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