| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5019 |
| 来源ID | Working Paper 5019 |
| The International Diversification Puzzle is Worse Than You Think | |
| Marianne Baxter; Urban J. Jermann | |
| 发表日期 | 1995-02-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | Although international financial markets are highly integrated across the more well-developed countries, investors nevertheless hold portfolios that consist nearly exclusively of domestic assets. This violation of the predictions of standard theories of portfolio choice is known as the 'international diversification puzzle.' In this paper, we show that the presence of nontraded risk associated with variations in the return to human capital has dramatic implications for the optimal fraction of domestic assets in an individual's portfolio. Our analysis suggests that the returns to human capital are highly correlated with the returns to domestic financial assets. Hedging the risk associated with nontraded human capital involves a short position in national equities in an amount approximately 1.5 times the value of the national stock market. Thus optimal and value- weighted portfolios very likely involve a short position in domestic marketable assets. |
| 主题 | International Economics ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w5019 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562448 |
| 推荐引用方式 GB/T 7714 | Marianne Baxter,Urban J. Jermann. The International Diversification Puzzle is Worse Than You Think. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5019.pdf（314KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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