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Home Bias in European Countries within a Bayesian Framework

Publiceringsår: 2006
Språk: Engelska
Sidor: 397-410
Publikation/Tidskrift/Serie: Journal of International Financial Markets, Institutions and Money
Volym: 16
Nummer: 5
Dokumenttyp: Artikel
Förlag: North-Holland

Sammanfattning

This paper determines to what extent the estimated expect returns on European equity indices will be affected by different degrees of prior confidence in the ICAPM. We also measure how fragile the investors’ prior confidence in ICAPM should be in order to explain the home bias of European pension funds. A Bayesian approach is used to estimate the expected asset returns under different prior scenarios. We show that a moderate mistrust in ICAPM results in estimates of the expected returns, which substantially deviate from the estimates by ICAPM. Furthermore, we find a strong home bias in most countries, which cannot be explained by any degree of disbelief in the ICAPM.

Disputation

Nyckelord

  • Business and Economics
  • Bayesian approach
  • Home bias
  • ICAPM

Övriga

Published
Yes
  • ISSN: 10424431

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