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September 23, 2014
 
 
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Jack (Jacques) A. Schnabel

Consumption Hedging and Home-Country Bias in a Model of International Capital Market Equilibrium


Dr. Jacques A. Schnabel

published: 2011 | Research publication | Working Papers

This paper proposes a rationale for home-country bias in investment portfolios via the desire of investors to hedge consumption bundles that uniquely characterize countries.  A revised capital asset pricing model is derived that is consistent with earlier versions of the model.

This paper was published in Studies in Economics and Finance (2012) Vol. 29 No. 1, pp. 4-10.

Download: PDF (67k)    Consumption_Hedging_and_Home-Country_Bias_in_a_Model_of_International_Capital_Market_Equilibrium.pdf

revised Sep 23/11

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