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Model uncertainty, financial market integration and the home bias puzzle

  • Baele, Lieven
  • Pungulescu, Crina
  • Ter Horst, Jenke

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File URL: http://www.sciencedirect.com/science/article/B6V9S-4N8M80P-1/2/d85ad2c8f62b4b1ff2fcea0c98a50ab4
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 26 (2007)
Issue (Month): 4 (June)
Pages: 606-630

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Handle: RePEc:eee:jimfin:v:26:y:2007:i:4:p:606-630
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  23. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2007. "Home bias in global bond and equity markets: The role of real exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 631-655, June.
  24. 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.
  25. 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.
  26. Goldberg, Pinelopi & Verboven, Frank, 2001. "Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market," CEPR Discussion Papers 2926, C.E.P.R. Discussion Papers.
  27. 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.
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  29. Gehrig, Thomas, 1993. " An Information Based Explanation of the Domestic Bias in International Equity Investment," Scandinavian Journal of Economics, Wiley Blackwell, vol. 95(1), pages 97-109.
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  31. 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.
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  40. 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.
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