| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14898 |
| DP14898 International Portfolio Choice with Frictions: Evidence from Mutual Funds | |
| Philippe Bacchetta; Simon Tièche; Eric van Wincoop | |
| 发表日期 | 2020-06-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Using data on international equity portfolio allocations of US mutual funds, we estimate a simple portfolio expression derived from a standard Markowitz mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on two benchmark portfolios, the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected future excess returns. We show that equity return differentials are predictable and use the expected return differentials in the mutual fund portfolio regressions. The estimated reduced form parameters are related to the structural model parameters. The estimates imply significant portfolio frictions and a modest rate of risk-aversion. While mutual fund portfolios respond significantly to expected returns, portfolio frictions lead to a weaker and more gradual portfolio response to changes in expected returns. |
| 主题 | International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp14898-1 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543839 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Simon Tièche,Eric van Wincoop. DP14898 International Portfolio Choice with Frictions: Evidence from Mutual Funds. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
