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Author: Hossein Asgharian
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
The home bias is defined as the tendency of the investors to invest a larger proportion of their wealth in domestic equities than what would be optimal based on the meanvariance principle. There are several explanations for this observed home bias, e.g., barriers to foreign investments and information asymmetry. From a Bayesian viewpoint the level of the investors' prior mistrust in a certain asset-pricing model may explain the home bias, despite the fact that statistical tests fail in rejecting the model. The purpose is to analyze how fragile the investors' prior confidence in ICAPM (International Capital Asset Pricing Model) must be to cause home bias in European equity markets. We use a Bayesian approach to estimate the predictive distribution of the asset returns for each European country under different prior scenarios. The investors' optimal portfolio weights are constructed from the moments of this predictive distribution. The result shows that there is a strong home bias in most countries, which cannot be explained by any degree of disbelief in the ICAPM. The losses due to the holdings of inefficient portfolios by pension funds are assessed via certainty equivalent calculations. Italian pension funds suffer more than the funds of the other countries from the home bias while UK and the Netherlands experience very small losses.
Author: Hossein Asgharian
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
The home bias is defined as the tendency of the investors to invest a larger proportion of their wealth in domestic equities than what would be optimal based on the meanvariance principle. There are several explanations for this observed home bias, e.g., barriers to foreign investments and information asymmetry. From a Bayesian viewpoint the level of the investors' prior mistrust in a certain asset-pricing model may explain the home bias, despite the fact that statistical tests fail in rejecting the model. The purpose is to analyze how fragile the investors' prior confidence in ICAPM (International Capital Asset Pricing Model) must be to cause home bias in European equity markets. We use a Bayesian approach to estimate the predictive distribution of the asset returns for each European country under different prior scenarios. The investors' optimal portfolio weights are constructed from the moments of this predictive distribution. The result shows that there is a strong home bias in most countries, which cannot be explained by any degree of disbelief in the ICAPM. The losses due to the holdings of inefficient portfolios by pension funds are assessed via certainty equivalent calculations. Italian pension funds suffer more than the funds of the other countries from the home bias while UK and the Netherlands experience very small losses.
Author: Piotr Pachura
Publisher: BoD – Books on Demand
ISBN: 9533073845
Category : Business & Economics
Languages : en
Pages : 294
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Book Description
Today science is moving in the direction of synthesis of the achievements of various academic disciplines. The idea to prepare and present to the international academic milieu, a multidimensional approach to globalization phenomenon is an ambitious undertaking. The book The Systemic Dimension of Globalization consists of 14 chapters divided into three sections: Globalization and Complex Systems; Globalization and Social Systems; Globalization and Natural Systems. The Authors of respective chapters represent a great diversity of disciplines and methodological approaches as well as a variety of academic culture. This is the value of this book and this merit will be appreciated by a global community of scholars.
Author: matteo villa
Publisher: Ledizioni
ISBN: 8855262025
Category : Political Science
Languages : en
Pages : 106
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Book Description
Even as the 2013-2017 “migration crisis” is increasingly in the past, EU countries still struggle to come up with alternative solutions to foster safe, orderly, and regular migration pathways, Europeans continue to look in the rear-view mirror.This Report is an attempt to reverse the perspective, by taking a glimpse into the future of migration to Europe. What are the structural trends underlying migration flows to Europe, and how are they going to change over the next two decades? How does migration interact with specific policy fields, such as development, border management, and integration? And what are the policies and best practicies to manage migration in a more coherent and evidence-based way?
Author: Institute of Chartered Financial Analysts
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 900
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Book Description
Author: Ian Cooper
Publisher:
ISBN: 9781601987631
Category : International finance
Languages : en
Pages : 133
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Book Description
Home bias - the empirical phenomenon that investors assign anomalously high weights to their own domestic assets - has puzzled academics for decades: financial theory predicts that an internationally well diversified portfolio of stocks and short-term bonds can reduce risk significantly without affecting expected return. Although the globalization of international equity markets has increased international investments, equity portfolios remain severely home biased today, and no single explanation seems to solve the puzzle completely. In this paper, we first provide a thorough description of the equity home bias phenomenon by defining, discussing, and applying the competing measures and presenting some estimates of the costs of under-diversification. Second, we evaluate the explanations for the equity home bias proposed in the literature such as information asymmetries, behavioral aspects, barriers to foreign investment, and governance issues, and conclude that each explanation on its own falls short, suggesting that the equity home bias probably reflects a combination of factors. Lastly, we review the implications of international under-diversification for portfolio formation and the cost of capital of companies.
Author: David M. Drukker
Publisher: Emerald Group Publishing
ISBN: 1780525265
Category : Business & Economics
Languages : en
Pages : 262
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Book Description
Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Author: Marcos Antonio Coutinho da Silveira
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 62
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Book Description
Author: Andrew Gelman
Publisher: CRC Press
ISBN: 1439840954
Category : Mathematics
Languages : en
Pages : 677
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Book Description
Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.
Author: Xiaolan Fu
Publisher: Routledge
ISBN: 1136632484
Category : Business & Economics
Languages : en
Pages : 365
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Book Description
This book presents a wide-ranging assessment of the current state of China’s economy in relation to the global international economy. It discusses the role China has played in responding to the economic crisis; assesses the continuing strong prospects for further economic growth in China; and examines China’s deepening integration into the world economy. Specific topics covered include China’s foreign reserves and global economic recovery; the international expansion of Chinese multinationals and China’s private businesses; and the role of technological innovation in China’s economic growth. Overall, the book provides a wealth of detail and up-to-date insights concerning China’s development path, growth potential, sustainability and impact.
Author: Nicola Gennaioli
Publisher: International Monetary Fund
ISBN: 1498391990
Category : Business & Economics
Languages : en
Pages : 53
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Book Description
We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.
