search query: @author Cooper, I. / total: 5
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| Author: | Cooper, I. Kaplanis, E. |
| Title: | Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. |
| Journal: | Review of Financial Studies
1994 : SPRING, VOL. 7:1, p. 45-60 |
| Index terms: | EQUITY PORTFOLIOS INFLATION STOCK MARKETS INTERNATIONAL CAPITAL MARKET |
| Language: | eng |
| Abstract: | Whether the home bias in equity portfolios is caused by investors trying to hedge inflation risk is tested here. The empirical evidence is consistent with this motive only if investors have very high levels of risk tolerance and equity returns are negatively correlated with domestic inflation. A model of international portfolio choice and equity market equilibrium that integrates inflation risk and deadweight costs is developed. The levels of costs required to generate the observed home bias in portfolios consistent with different levels of risk aversion are estimated. |
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