haku: @indexterm portfolio investment / yhteensä: 425
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Tekijä:Fratzscher, M.
Imbs, J.
Otsikko:Risk sharing, finance, and institutions in international portfolios
Lehti:Journal of Financial Economics
2009 : DEC, VOL 94:3, p. 428-447
Asiasana:risk sharing
diversification
portfolio investment
integration
investments
Kieli:eng
Tiivistelmä:The purpose of this article is to demonstrate the impact of international investment transaction costs on conventional tests of consumption risk sharing. The authors develop a model and test it on international data on bilateral holdings. It is found that foreign capital holdings in equity and bonds are often related to international consumption risk sharing, whereas holdings in foreign direct investments and bank loans are not. The article also shows the domination of implied effects of institutions in cross-section of consumption risk sharing and in international investment patterns.
SCIMA tietueen numero: 273222
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