Why is there home bias? An analysis of foreign portfolio equity ownership in Japan

Article Abstract:

The stock ownership patterns in Japanese firms of foreign investors within the period of 1975 to 1991 was analyzed to explain current models which show home bias. Data reveals that foreign investors are partial to firms in manufacturing industries, large firms, and companies with low risk, and good accounting standing. Results shown are congruent with models which forecast foreign investors to have more portfolios with securities predicted to earn higher returns.

Diversified Companies, Research, Foreign investments, Japan, International aspects, Diversification in industry, Industrial diversification, Foreign securities

---

Efficiency loss and constraints on portfolio holdings

Article Abstract:

Unconstrained portfolio weights tend to create greater market portfolio inefficiency than nonnegative constrained portfolio weights. Data taken from the NYSE-AMEX showed that unconstrained portfolio weights create a posterior loss of more than 20% on the NYSE-AMEX market portfolio's annual expected return. On the other hand, nonnegative constrained portfolio weights produce as much as 4% posterior loss on the NYSE-AMEX market portfolio's annual expected return.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Management, Economic aspects, Exchanges, Investments, Assets (Accounting)

---

Data-generating process uncertainty: what difference does it make in portfolio decisions?

Article Abstract:

A new method has been proposed, which highlights the importance and the need for incorporating data-generating process (DGP) uncertainty in portfolio analysis and in financial decision-making. The investor can utilize the DGP uncertainty for making realistic decisions, keeping in mind the uncertainties of parameter, asset pricing model and DGP.

United States, General services, Portfolio Management, Financial Services, Finance and Insurance, DEPOSITORY INSTITUTIONS, Financial services industry, Company systems management, Information management

Similar abstracts:

• Abstracts: Survival of the fittest? An analysis of self-employment duration in Britain. Analysing credibility in high-inflation countries: a new approach
• Abstracts: U.S. equity investment in foreign markets: portfolio rebalancing or return chasing? Portfolio choice and trading in a large 401(k) plan
• Abstracts: Dynamic models for fixed-income portfolio management under uncertainty. A model for designing callable bonds and its solution using tabu search
• Abstracts: Motion picture profit, the stable Paretian hypothesis, and the curse of the superstar. Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
• Abstracts: On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach. The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.