Human capital and international portfolio diversification: A reappraisal
研究了人力资本对冲对国际投资组合选择的影响，发现家庭层面的本国偏好随劳动收入与金融财富比率上升，并通过异质性代理人模型解释了这一现象，同时指出支持人力资本对冲导致投资组合偏向外国资产的经验证据源于计量错误。
We study the implications of human capital hedging for international portfolio choice. First, we document that, at the household level, the degree of home country bias in equity holdings is increasing in the labor income to financial wealth ratio. Second, we show that a heterogeneous agent model in which households face short selling constraints and labor income risk, calibrated to match both micro and macro labor income and asset returns data, can both rationalize this finding and generate a large aggregate home country bias in portfolio holdings. Third, we find that the empirical evidence supporting the belief that the human capital hedging motive should skew domestic portfolios toward foreign assets, is driven by an econometric misspecification rejected by the data.