英文标题：
《The Determinants of Home Bias in Stock Portfolio: An Emerging and
  Developed Markets Study》
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作者：
Mounira Chniguir, Mohamed Kefi (INAT), Jamel Henchiri
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最新提交年份：
2018
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英文摘要：
  The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a number of susceptible factors that impact HB. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of HB in their holdings portfolio. After that, we test if the HB of the emerging markets and that of the developed markets react differently to the determining factors. The volatility of the exchange rate is statistically significant with emerging markets, while it is hardly remarkable for the developed countries. Co-variance, size, distance, language, legal framework and foreign organization stocks prevents American investors to invest abroad.
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中文摘要：
本文的目的是测量控股组合中的家庭偏向程度（HB），并确定其决定因素。通过参考文献和国际资本资产定价模型，我们选择了大量影响HB的易感因素。因此，该模型在2008年至2013年期间用横截面计量经济学对20个国家进行了估计。我们的结果表明，所有国家在其持有的投资组合中都记录了高水平的HB。之后，我们测试新兴市场和发达市场的HB对决定因素的反应是否不同。新兴市场的汇率波动在统计上是显著的，而发达国家的汇率波动并不显著。协方差、规模、距离、语言、法律框架和外国组织股票阻碍了美国投资者到国外投资。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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