Why is There a Home Bias?: An Analysis of Foreign Portfolio Equity Ownership in JapanCenter on Japanese Economy and Business, Graduate School of Business, Columbia University, 1996 - Investments, Foreign - 86 pages |
Other editions - View all
Common terms and phrases
barriers to international Book to market Center on Japanese correlation between foreign cross-section regression Current ratio domestic country domestic investors domestic securities held drift vector Economy and Business Excess return expected returns explanatory variables exports-to-sales ratio firm characteristics firms with low foreign investors hold foreign investors invest foreign investors overweight French and Poterba Fumio Hayashi held by domestic held by foreign home bias Hugh Patrick industries information asymmetries international diversification international investment Japanese Economy Japanese firms Japanese individual investors Jeffrey Garten Jun-Koo Kang large firms Log MV low leverage market portfolio market value negative correlation ownership in Japan PACAP paper portfolio held portfolio of domestic predictive distribution quintile Residual variance return on assets returns on foreign sample period Schon Beechler second subperiod Section significant significantly negative small firms Stulz sunk cost t-statistics Table throughout our sample Tokyo Stock Exchange underweight value-weighted foreign ownership Variables Full period variance-covariance matrix Yasushi Hamao