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The international diversification puzzle is not worse than you think

Author

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  • Christian Julliard

    (Princeton University and University of Salerno)

Abstract

This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how, once the misspecification is corrected, the results are reverted: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it. JEL Classification: F30, G11, G12

Suggested Citation

  • Christian Julliard, 2003. "The international diversification puzzle is not worse than you think," International Finance 0301004, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpif:0301004
    Note: Type of Document - Acrobat PDF; prepared on IBM PC ; pages: 36; figures: included
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    International diversification; human capital;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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