Information Immobility and the Home Bias Puzzle

• 成果类型: Article
• 署名作者: Van Nieuwerburgh, Stijn; Veldkamp, Laura
• 署名单位: New York University; National Bureau of Economic Research; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01462.x
• 发表日期: 2009
• 页码: 1187-1215
• 关键词: rational-expectations equilibrium; portfolio; geography; MODEL; diversification; performance; familiarity; INVESTMENT; investors; contagion

摘要

Many argue that home bias arises because home investors can predict home asset payoffs more accurately than foreigners can. But why does global information access not eliminate this asymmetry ? We model investors, endowed with a small home information advantage, who choose what information to learn before they invest. Surprisingly, even when home investors can learn what foreigners know, they choose not to: Investors profit more from knowing information others do not know. Learning amplifies information asymmetry. The model matches patterns of local and industry bias, foreign investments, portfolio outperformance, and asset prices. Finally, we propose new avenues for empirical research.