International Portfolio Choice with Frictions: Evidence from Mutual Funds

• 成果类型: Article
• 署名作者: Bacchetta, Philippe; Tieche, Simon; van Wincoop, Eric
• 署名单位: University of Lausanne; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Virginia; National Bureau of Economic Research; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad027
• 发表日期: 2023
• 页码: 4233
• 关键词: ASSET PRICE DYNAMICS; capital flows; micro-evidence; returns; MARKETS; RISK; US

摘要

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected excess returns. We estimate expected return differentials and use them in the portfolio regressions. The estimates imply significant portfolio frictions and a modest rate of risk aversion. While mutual fund portfolios significantly respond to expected returns, portfolio frictions lead to a weaker and a more gradual portfolio response to changes in expected returns. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.