Incomplete observation, filtering, and the home bias puzzle

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3 Citations (Scopus)

Abstract

This paper tries to explain the home bias puzzle by incompleteness of observation. Our result suggests that investors invest more in domestic asset when they are allowed to observe the process of foreign asset only partially.

Original languageEnglish
Pages (from-to)75-80
Number of pages6
JournalEconomics Letters
Volume62
Issue number1
Publication statusPublished - 1999 Jan 1

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Keywords

  • F30
  • G11
  • Home bias puzzle
  • International portfolio diversification
  • International risk-sharing
  • Optimal portfolio choice
  • Stochastic filtering

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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