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来源类型Working Paper
规范类型报告
DOI10.3386/w5175
来源IDWorking Paper 5175
Nontraded Goods, Nontraded Factors, and International Non-Diversification
Marianne Baxter; Urban J. Jermann; Robert G. King
发表日期1995-07-01
出版年1995
语种英语
摘要Can the presence of nontraded consumption goods explain the high degree of 'home bias' displayed by investor portfolios? We find that the answer is no, so long as individuals have access to free international trade in financial assets. In particular, it is never optimal to exhibit home bias with respect to domestic traded-good equities. By contrast, an optimal portfolio may exhibit substantial home bias with respect to nontraded-good equities, although this result requires a very low degree of substitution between traded and nontraded goods in the utility function. Further, our analysis uncovers a second puzzle: the composition of investors' portfolios appears to be strongly at variance with the predictions of the model that incorporates nontraded goods.
URLhttps://www.nber.org/papers/w5175
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/562618
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Marianne Baxter,Urban J. Jermann,Robert G. King. Nontraded Goods, Nontraded Factors, and International Non-Diversification. 1995.
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