Arbeitspapier
The home bias in equities and distribution costs
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing foreign equity. This is because the existence of a retail sector affects both the correlation of domestic returns with the domestic price level and the correlation between financial and nonfinancial income.
- ISBN
-
978-3-86558-665-0
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series 1 ; No. 2010,24
- Classification
-
Wirtschaft
Open Economy Macroeconomics
Portfolio Choice; Investment Decisions
International Financial Markets
- Subject
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International Financial Market Integration
International Risk Sharing
Home Bias
Internationaler Finanzmarkt
Portfolio-Management
Home Bias Puzzle
Vertriebskosten
Allgemeines Gleichgewicht
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Harms, Philipp
Hoffmann, Mathias
Ortseifer, Christina
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Harms, Philipp
- Hoffmann, Mathias
- Ortseifer, Christina
- Deutsche Bundesbank
Time of origin
- 2010
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