Equity home bias—A global perspective from the shrunk frontier
Equity home bias research explicates the need for correct characterisation of benchmark (optimum) foreign equity investment weights required for the estimation of equity home bias. This paper improves upon the traditional mean–variance optimisation framework by utilising the Bayes–Stein shrinkage technique to obtain optimal equity weights and home bias estimates for 39 countries for the period, 2000–2009. A regression model estimated with system GMM identifies financial integration, trade...[Show more]
|Collections||ANU Research Publications|
|Source:||Economic Analysis and Policy|
|1-s2.0-S0313592617301972-main.pdf||2.07 MB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.