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| Tekijä: | Sercu, P. Vanpee, R. |
| Otsikko: | Estimating the costs of international equity investments |
| Lehti: | Review of finance
2008 : VOL. 12:4, p. 587-634 |
| Asiasana: | international equities investments costs estimation Indonesia USA |
| Kieli: | eng |
| Tiivistelmä: | This paper estimates implied costs reconciling international portfolios with InCAPM predictions. Costs depend on home- and host-country characteristics and on interactions. Estimated is risk tolerance, controlling for currency risk, inflation hedging, fixed-interest investments etc. For developed markets, estimates are lower than reported before. However, those for new markets are quite high: from 2001 ti 2004 inward shadow costs range from 0.01 percent p.a. (for U.S.) to 37 percent (for Indonesia). find that equity home bias is found to be related to a mixture of risks and frictions, e.g. information asymmetries, and explicit costs. |
SCIMA