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CAPM and Home Bias; SD Prospective Plantings Analysis

Author

Listed:
  • Ding Du

    (Department of Economics, South Dakota State University)

  • Alan May

    () (Department of Economics, South Dakota State University)

Abstract

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Suggested Citation

  • Ding Du & Alan May, 2006. "CAPM and Home Bias; SD Prospective Plantings Analysis," Issue Briefs 2006473, South Dakota State University, Department of Economics.
  • Handle: RePEc:sda:ibrief:2006473
    as

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    References listed on IDEAS

    as
    1. John Sondey & S.L. Thompson, 2006. "Investor Reluctance to Invest in Foreign Equities," Issue Briefs 2006471, South Dakota State University, Department of Economics.
    2. Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2004. "The Performance of International Equity Portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.), revised Oct 2004.
    3. Huberman, Gur, 2001. "Familiarity Breeds Investment," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 659-680.
    4. Campbell, Rachel A. & Kraussl, Roman, 2007. "Revisiting the home bias puzzle: Downside equity risk," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1239-1260, November.
    5. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October.
    6. Mark Grinblatt, 2001. "How Distance, Language, and Culture Influence Stockholdings and Trades," Journal of Finance, American Finance Association, vol. 56(3), pages 1053-1073, June.
    7. 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.
    8. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    9. Du, Ding & Denning, Karen, 2005. "Industry momentum and common factors," Finance Research Letters, Elsevier, vol. 2(3), pages 107-124, September.
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