Information Immobility and the Home Bias Puzzle

被引:422
作者
Van Nieuwerburgh, Stijn [1 ,2 ]
Veldkamp, Laura [2 ,3 ]
机构
[1] NYU, Sterns Finance Dept, New York, NY 10003 USA
[2] NBER, Cambridge, MA 02138 USA
[3] NYU, Sterns Econ Dept, New York, NY 10003 USA
关键词
RATIONAL-EXPECTATIONS EQUILIBRIUM; PORTFOLIO; GEOGRAPHY; MODEL; DIVERSIFICATION; PERFORMANCE; FAMILIARITY; INVESTMENT; INVESTORS; CONTAGION;
D O I
10.1111/j.1540-6261.2009.01462.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why does global information access not eliminate this asymmetry ? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies information asymmetry. The model matches patterns of local and industry bias, foreign investments, portfolio outperformance, and asset prices. Finally, we propose new avenues for empirical research.
引用
收藏
页码:1187 / 1215
页数:29
相关论文
共 55 条
[1]   A NOISY RATIONAL-EXPECTATIONS EQUILIBRIUM FOR MULTI-ASSET SECURITIES MARKETS [J].
ADMATI, AR .
ECONOMETRICA, 1985, 53 (03) :629-657
[2]   DIRECT AND INDIRECT SALE OF INFORMATION [J].
ADMATI, AR ;
PFLEIDERER, P .
ECONOMETRICA, 1990, 58 (04) :901-928
[3]   Information costs and home bias: an analysis of US holdings of foreign equities [J].
Ahearne, AG ;
Griever, WL ;
Warnock, FE .
JOURNAL OF INTERNATIONAL ECONOMICS, 2004, 62 (02) :313-336
[4]  
[Anonymous], 1991, ELEMENTS INFORM THEO
[5]   Can information heterogeneity explain the exchange rate determination puzzle? [J].
Bacchetta, Philippe ;
van Wincoop, Eric .
AMERICAN ECONOMIC REVIEW, 2006, 96 (03) :552-576
[6]   Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts [J].
Bae, Kee-Hong ;
Stulz, Rene M. ;
Tan, Hongping .
JOURNAL OF FINANCIAL ECONOMICS, 2008, 88 (03) :581-606
[7]  
BANERJEE S, 2007, LEARNING PRICES DISP
[8]  
Bekaert G., 2003, J FINANC RES, V26, P275, DOI DOI 10.1111/1475-6803.00059
[9]  
Botosan CA, 1997, ACCOUNT REV, V72, P323
[10]  
Boyle Phelim., 2003, Ambiguity Aversion and the Puzzle of Own Company Stock in Retirement Plans" Working Paper