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Equity home bias—A global perspective from the shrunk frontier

Mukherjee, Raja; Paul, Satya; Shankar, Sriram


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]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
Source: Economic Analysis and Policy
DOI: 10.1016/j.eap.2017.10.003
Access Rights: Open Access


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