Incomplete observation, filtering, and the home bias puzzle

Michiko Ueda

Research output: Contribution to journalArticle

3 Scopus citations

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 (US)
Pages (from-to)75-80
Number of pages6
JournalEconomics Letters
Volume62
Issue number1
StatePublished - Jan 1 1999

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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