| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5175 |
| 来源ID | Working 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. |
| URL | https://www.nber.org/papers/w5175 |
| 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/562618 |
| 推荐引用方式 GB/T 7714 | Marianne Baxter,Urban J. Jermann,Robert G. King. Nontraded Goods, Nontraded Factors, and International Non-Diversification. 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 | ||
| w5175.pdf（310KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
