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Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
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http://hdl.handle.net/10419/25497
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| Title: | | Revisiting the home bias puzzle: Downside equity risk  |
| Authors: | | Campbell, Rachel A. Kräussl, Roman |
| Issue Date: | | 2006 |
| Series/Report no.: | | CFS Working Paper 2006/31 |
| Abstract: | | Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 international markets returns over the last 34 years. The results are stable for various robustness checks. Investors may think globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias phenomenon, documented in international financial markets. |
| Subjects: | | Asset Pricing Home Bias Downside Risk Prospect Theory |
| JEL: | | G11 G12 G15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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