略论国际分散化投资中的“本国偏好之谜”

国际分散化投资可以增加均值—方差模型投资者的效用,在理论和经验上均得到了广泛支持,然而,该理论无法解释国际金融领域"本国偏好之谜",即一国投资者将绝大部分的资金投资在本国证券市场而忽略国外证券市场。通过交易成本、信息不对称、对冲需求分别对"本国偏好之谜"进行解释,仍无法取得合理及满意的答案。行为金融的发展给解释"本国偏好之谜"提供了一个新的视角。

Home Bias Puzzle in International Diversification Investment

International diversification investment can improve utility of mean-variance model investors theoretically and empirically.However,the theory cannot explain home bias puzzle in international finance.In fact,investors always invest almost all of their moneys in home security markets and ignore foreign security markets although the latter can offer diversification.The authors summarize the explanations of home bias puzzle by transaction cost,information asymmetry,hedge demand and could not get a satisfactory...