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The International Diversification Puzzle: Home Bias in Countries’ Investment Portfolios

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  • Kleinert

Abstract

This work analyzes determinants of portfolio decisions in the context of cross-country diversification, which cause significant overweighting of the respective domestic market. By amending traditional determinants with cross-cultural variables, this work enhances current insights on the home bias phenomena. In addition, the study sheds light on the capital market anomaly in the context of consumption risk and documents that the increasing importance of foreign positions in international investment portfolios improves international consumption risk sharing among economies.

Suggested Citation

  • Kleinert (ed.), 0. "The International Diversification Puzzle: Home Bias in Countries’ Investment Portfolios," Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim, Duncker & Humblot GmbH, Berlin, edition 1, volume 53, number vwpe716.
    • Handle: RePEc:dah:sskssk:vwpe716
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    More about this item

    Keywords

    Bayesian Portfolio; Classical Mean-Variance Portfolio Model; Domestic Bias; Foreign Bias; Gravity Model; Home Bias;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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