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Model uncertainty, financial market integration and the home bias puzzle · Study

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ArticleModel uncertainty, financial market integration and the home bias puzzle

Lieven Baele2007

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Articlegreen2007

Model uncertainty, financial market integration and the home bias puzzle

Lieven Baele · Crina Pungulescu · Jenke ter Horst

105 citations·0/0 files stored·Journal of International Money and Finance

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Global Financial Crisis and Policies Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1952Portfolio Selection 1992Convergence 1995Growth Empirics: A Panel Data Approach 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios 1980On estimating the expected return on the market

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Details

Year2007

Typearticle

Published2007-03-19

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations105

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/j.jimonfin.2007.03.007

openalex_workW3122896470

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Cited by

2007Home Bias in International Equity Portfolios: A Review

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2017Micro and macroeconomic determinants of stock prices: The case of Turkish banking sector

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