Model Uncertainty, Financial Market Integration and the Home Bias Puzzle

By Lieven Baele, C. Pungulescu, J. T. Horst. 2007

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Subjective measures of risk aversion, fixed costs, and portfolio choice (2011, unknown): “V ∗(α) = − exp(−Aw0 − Aα′μ− A(2)w0αΣz + 1 2 A2α′Σα) (4)”
Home Bias in International Equity Portfolios: A Review (2007, methodology): “The twin agency problem affects international portfolio holdings in three ways: (1) countries with poor governance have a smaller fraction of wealth owned by foreign investors because insiders have a larger ownership share in such countries, (2) smaller countries have a larger fraction of wealth own”
Time-varying Integration and International diversification strategies (2009, unknown): “Baele et al., 2007a). Third, even in the absence of structural change, both industry and country betas may still vary substantially over the business cycle.(5) To decompose global industry and regional risk into a systematic and diversifiable component, we include global market returns as an obvious”