全球智库信息集成服务系统(G2TT): Private Information, Human Capital, and Optimal \"Home Bias\" in Financial Markets

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15668
来源ID	Working Paper 15668
	Private Information, Human Capital, and Optimal \"Home Bias\" in Financial Markets
	Isaac Ehrlich; Jong Kook Shin; Yong Yin
发表日期	2010-01-21
出版年	2010
语种	英语
摘要	By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to endogenous information acquisition bolstered by investors' human capital. We develop discriminating hypotheses about the influence of "specific" and "general" human capital endowments and direct and opportunity costs of managing risky assets in determining whether to hold these assets, and how the assets' portfolio shares vary across investors and financial markets. These hypotheses are supported by numerical and econometric analyses of panel data from the US over 1992-2007, and 23 international financial markets over 2001-2007. The results indicate the existence of differences across countries in the degree to which home asset prices are "information-revealing", which may be relevant for fully understanding the global financial crisis of 2007-09.
主题	Microeconomics ; Economics of Information ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Labor Economics ; Labor Supply and Demand
URL	https://www.nber.org/papers/w15668
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/573341
推荐引用方式 GB/T 7714	Isaac Ehrlich,Jong Kook Shin,Yong Yin. Private Information, Human Capital, and Optimal \"Home Bias\" in Financial Markets. 2010.

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
w15668.pdf（383KB）	智库出版物		限制开放	CC BY-NC-SA	浏览