Beyond Home Bias: International Portfolio Holdings and Information Heterogeneity

• 成果类型: Article
• 署名作者: De Marco, Filippo; Macchiavelli, Marco; Valchev, Rosen
• 署名单位: Bocconi University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Boston College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab135
• 发表日期: 2022
• 页码: 4387
• 关键词: EQUITY INVESTMENT; acquisition; geography; COSTS

摘要

We show that international portfolios reflect the underlying heterogeneity in investors' beliefs. Using data on the foreign sovereign debt holdings of European banks matched with their forecasts on future bond yields, we find that expecting higher returns and having more accurate forecasts are associated with larger bond holdings. Crucially, the elasticity of portfolio holdings to expected returns is increasing in the precision of the forecast, implying that investors optimally exploit comparative advantages in information production. We rationalize the results in a model in which partial information specialization arises endogenously by introducing a degree of unlearnable uncertainty about asset payoffs.