Nontraded goods, nontraded factors, and international non-diversification

• 成果类型: Article
• 署名作者: Baxter, M; Jermann, UJ; King, RG
• 署名单位: University of Virginia; University of Pennsylvania
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(97)00018-4
• 发表日期: 1998
• 页码: 211-229
• 关键词: international diversification; Nontraded goods; Optimal portfolio choice

摘要

Can the presence of nontraded consumption goods or nontraded factors of production explain the high degree of home bias displayed by investor portfolios? We find that the answer is no, so long as individuals have access to free international trade in financial assets. In particular, it is never optimal to exhibit home bias with respect to domestic traded-good equities, By contrast, holdings of nontraded-good equities in an optimal portfolio will depend sensitively on the elasticity of substitution between traded and nontraded goods. (C) 1998 Elsevier Science B.V.