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International diversification at home and abroad

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dc.creator Cai, Fang
dc.creator Warnock, Francis E.
dc.date 2005
dc.date.accessioned 2013-10-16T07:05:22Z
dc.date.available 2013-10-16T07:05:22Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19514
dc.identifier ppn:482854103
dc.identifier RePEc:zbw:bubdp1:2940
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19514
dc.description We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that investors might obtain substantial international diversification by investing at home. Using an international factor model, we show that exposure to foreign equity markets is indeed greater for domestic firms that are more diversified internationally, suggesting that at least some of the home-grown foreign exposure translates into international diversification benefits. After accounting for home-grown foreign exposure, the share of "foreign" equities in investors' portfolios nearly doubles, reducing (but not eliminating) the observed home bias.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,06
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G3
dc.subject G11
dc.subject G15
dc.subject ddc:330
dc.subject home bias
dc.subject international portfolio allocation
dc.subject foreign exposure
dc.subject Portfolio-Management
dc.subject Internationaler Finanzmarkt
dc.subject Bias
dc.subject Vereinigte Staaten
dc.subject Welt
dc.title International diversification at home and abroad
dc.type doc-type:workingPaper


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