Home Bias in European Countries within a Bayesian Framework
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2006
Språk
Engelska
Sidor
397-410
Publikation/Tidskrift/Serie
Journal of International Financial Markets, Institutions, and Money
Volym
16
Issue
5
Dokumenttyp
Artikel i tidskrift
Förlag
North-Holland
Ämne
- Economics
Nyckelord
- Bayesian approach
- Home bias
- ICAPM
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1042-4431